This paper investigates the volatility of the Athens Stock excess stock returns over the period 1990-1999 through the comparison of various conditional hetero-skedasticity models. The empirical results indicate that there is significant evidence for asymmetry in stock returns, which is captured by a quadratic GARCH specification model, while there is strong persistence of shocks into volatility.
机构:
Aligarh Muslim Univ, Fac Management Studies & Res, Dept Business Adm, Aligarh 202002, Uttar Pradesh, IndiaAligarh Muslim Univ, Fac Management Studies & Res, Dept Business Adm, Aligarh 202002, Uttar Pradesh, India