Modeling stock market volatility in Croatia: A reappraisal
Purpose: In this paper, the volatility of the Croatian stock market index CROBEX is investigated using the GARCH(1,1) model. Methodology: The novelty provided by this paper is the estimation of the GARCH(1,1) model by using three conditional error distributions (normal (Gaussian) distribution, St...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Faculty of Economics and Business in Osijek
2021-01-01
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| Series: | Ekonomski Vjesnik |
| Subjects: | |
| Online Access: | https://hrcak.srce.hr/file/392364 |