Liu, Virginia; Tapon, Francis; Sun, Yiguo - In: Applied Financial Economics Letters 2 (2006) 2, pp. 105-109
This study examines the question of 'Does the internet phenomenon affect the volatility of stock returns of legacy companies?';1 GARCH models and the Wald test are applied to investigate the persistence of stock return volatility and breaks in the volatility. A special GARCH (1,1) model is also...
