The effects of the 2008 financial crisis in the Philippine Stock Exchange from 2006-2015: Modelling stock market volatility using sector indices with an application of Garch, Egarch, and Tgarch models
This paper examines sector specific volatility in order to determine how different sectors respond to volatility shocks within the same equity market. The Philippine Stock exchange (PSE) Index Series, composed of the PSEI Index and sector indices, is utilized for this study. Volatility is modeled us...
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| 格式: | text |
| 語言: | English |
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Animo Repository
2016
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| 在線閱讀: | https://animorepository.dlsu.edu.ph/etd_bachelors/2689 |
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