Spillover Volatilitas Pasar Saham Indonesia dan Singapura Periode 2001-2005
Using an Autoregressive model combined with a univariate Exponential GARCH model for constructing a volatility spillover model, we investigate asymmetric effect and volatility persistence effect in Indonesia and Singapore stock market, and the effect of volatility spillover from Singapore stock mark...
| Main Authors: | , |
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| Format: | Article |
| Language: | Indonesian |
| Published: |
Petra Christian University
2010-01-01
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| Series: | Jurnal Akuntansi dan Keuangan |
| Subjects: | |
| Online Access: | http://puslit2.petra.ac.id/ejournal/index.php/aku/article/view/18030 |