Stock price fluctuations and GARCH modelling of stock market indexes

The purpose of this paper is to show whether volatility clustering, as measured by the General autoregressive conditional heteroscedasticity - GARCH (1,1), can be explained by the information flow. The paper examines the stock indexes through several commonly used models: Zivot- Andrews unit root te...

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Bibliographic Details
Main Author: Bistra Radeva
Format: Article
Language:Bulgarian
Published: Knowledge and business 2019-06-01
Series:Икономика и компютърни науки
Subjects:
Online Access:http://eknigibg.net/Volume5/Issue3/spisanie-br3-2019_pp.6-19.pdf