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Testing volatility on the Trinidad and Tobago stock exchange

By:

Leon, Hyginus

Material type: Text

TextPublication details: 2000Action note:

5/17/04 JOYD

Summary: Estimates the responsiveness of sectoral subindex returns to changes in the domestic market portfolio. Compares predictions of nonsystematic risk using GARCH and EGARCH specifications of the error variance.

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Holdings
Item type	Current library	Call number	Status	Barcode
Analytic	CARICOM Documentation Centre	11.02.07 L579 (Browse shelf(Opens below))	Available	0000000019716

Estimates the responsiveness of sectoral subindex returns to changes in the domestic market portfolio. Compares predictions of nonsystematic risk using GARCH and EGARCH specifications of the error variance.

5/17/04 JOYD

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