Stock Returns Volatility in the Tokyo Stock Exchange

This paper examines the stock returns volatility in the Tokyo Stock Exchange in the period 1986 through 1989. Structures of returns volatility are estimated and forecasted. Models of autoregressive conditional heteroscedasticity (ARCH) are fitted to the stock returns. It is found that the returns se...

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Bibliographic Details
Main Author: TSE, Yiu Kuen
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 1991
Subjects:
Online Access:https://ink.library.smu.edu.sg/soe_research/390
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Institution: Singapore Management University
Language: English