تصفح حسب الموضوع "EGARCH model"
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The Impact of Market-wide Volatility on Time-varying Risk: Evidence from Qatar Stock Exchange
( Sage Publications India Pvt. Ltd , 2018 , Article)This study examines the impact of market-wide volatility on time-varying risk using the heteroscedastic market model with EGARCH (1,1) specification. Using daily sector returns from the Qatar Stock Exchange (QSE) market ...