large economies, USA, United Kingdom, Germany, France and Japan. The empirical results show that although the pure NGARCH … model performs well, the estimation for the German stock index could be significantly improved by an extension which follows …

than internationalization of mid-cap indices in particular in Germany and in the UK. The results for France do not exhibit … mid-cap stock indices. The specific focus lies on internationalization of blue-chip versus mid-cap stock indices in France …, Germany, and the UK.Methodology/Approach: The dataset covers the French CAC40, the German DAX30 and the 30 largest firms in …