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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| 格式: | text |
| 語言: | English |
| 出版: |
Institutional Knowledge at Singapore Management University
1991
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| 在線閱讀: | https://ink.library.smu.edu.sg/soe_research/390 |
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