Paper Title :Estimatıng the Volatilite of Stock Markets in Case of Fınancial Crisis
Author :Nadire Kantarcioglu, Gultekin Gurcay
Article Citation :Nadire Kantarcioglu ,Gultekin Gurcay ,
(2018 ) " Estimatıng the Volatilite of Stock Markets in Case of Fınancial Crisis " ,
International Journal of Management and Applied Science (IJMAS) ,
pp. 42-44,
Volume-4,Issue-2
Abstract : In this paper, effects and responses of stock were analyzed. This analysis was done periodically. Thedimensions
of the financial crisis impact on the stock market was investigated by GARCH model. In this context, S&P 500 stock market
are modeled with DAX, NIKKEI and BIST100. In this way, The effects of the changing in S&P 500 stock market were
examined on European and Asian stock markets. Conditional variance coefficient will be calculated through garch model.
The scope of the crisis period, the conditional covariance coefficient will be analyzed comparatively.
Keywords - Conditional Variance Coefficient, Financial Crisis,Garch Model,Stock Market
Type : Research paper
Published : Volume-4,Issue-2
DOIONLINE NO - IJMAS-IRAJ-DOIONLINE-10996
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Copyright: © Institute of Research and Journals
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Published on 2018-04-06 |
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