Quantifying Long-Term Volatility for Developed Stock Markets: An Empirical Case Study Using PGARCH Model on Toronto Stock Exchange (TSX)

Quantifying Long-Term Volatility for Developed Stock Markets: An Empirical Case Study Using PGARCH Model on Toronto Stock Exchange (TSX)

High frequency data is a recent entrant to the world of statistics as they relate to the markets. This study measures the volatility of S& P / Toronto index by utilizing the GARCH family models (EGARCH, TGARCH, MGARCH and PGARCH models) using a daily database counted 7636 observations. The empir...

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Bibliographic Details
Main Authors: Meher Kumar BHARAT, Ramona BIRAU, Mircea Laurentiu SIMION, Anand ABHISHEK, Singh MANOHAR
Format: Article
Language:English
Published: Dunarea de Jos University of Galati 2023-08-01
Series:Annals of Dunarea de Jos University. Fascicle I : Economics and Applied Informatics
Subjects:
volatility
forecasting
pgarch model
garch
developed stock market
Online Access:http://eia.feaa.ugal.ro/images/eia/2023_2/Santosh_Bharat_Birau_Simion_Abhishek_Manohar1.pdf

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http://eia.feaa.ugal.ro/images/eia/2023_2/Santosh_Bharat_Birau_Simion_Abhishek_Manohar1.pdf

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