Javid, Attiya Y. - Pakistan Institute of Development Economics - 2007
catastrophic shock.
JEL classification: G12, C11, C15
Keywords: Catastrophic Shock, Market Model, GARCH Specification … financial time series data.
Therefore market model-with-GARCH specification given below is most
suitable choice to investigate … as indicated by positive
14
Table 3
Evidence on Market Model-with-GARCH Specification
β
0
β
m
α
i
φ
0
φ
k …