The asymmetry effect on volatility during the global financial crisis

The main objective of this dissertation is to investigate the asymmetric effects of shocks on volatility during the Global Financial Crisis of 2007 – 2009. Using daily logarithmic returns, we estimate univariate EGARCH and GJR models assuming three different conditional distributions: the Gaussian n...

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Detalhes bibliográficos
Autor principal: Kovalchuk, Svyatoslav (author)
Formato: masterThesis
Idioma:eng
Publicado em: 2019
Assuntos:
Volatility
Asymmetry effects
Global financial crisis
Stock market indices
Volatilidade
Efeito assimétrico
Crise financeira
Índices de ações
Texto completo:http://hdl.handle.net/10071/19550
País:Portugal
Oai:oai:repositorio.iscte-iul.pt:10071/19550

Texto Completo

http://hdl.handle.net/10071/19550

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