The Application of GARCH and EGARCH in Modeling the Volatility of Daily Stock Returns During Massive Shocks: The Empirical Case of Egypt
Year of publication: |
2012-08
|
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Authors: | Ezzat, Hassan |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | The Egyptian Exchange | ARCH | GARCH | EGARCH | Volatility | Revolution |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Classification: | C1 - Econometric and Statistical Methods: General ; C14 - Semiparametric and Nonparametric Methods ; C5 - Econometric Modeling ; C52 - Model Evaluation and Testing |
Source: |
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