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Details for article 64 of 146 found articles
| Title: |
GARCH model with cross-sectional volatility: GARCHX models |
| Author: |
Hwang, Soosung Satchell, Steve E. |
| Appeared in: |
Applied financial economics |
| Paging: | Volume 15 (2005) nr. 3 pages 203-216 |
| Year: |
2005-02-01 |
| Contents: |
This study introduces GARCH models with cross-sectional market volatility, which are called GARCHX models. The cross-sectional market volatility is a special case of common heteroscedasticity in asset specific returns, which is suggested by Connor and Linton (2001) as an important component in individual asset volatility. Using UK and US data, we find that daily return volatility can be better specified with GARCHX models, but GARCHX models do not necessarily perform better than conventional GARCH models in forecasting. |
| Publisher: |
Routledge |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 64 of 146 found articles
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