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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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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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