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• W1586900592 abstract "Abstract The use of GARCH modeling in empirical finance has so far to a great extent been restricted to larger asset markets. This paper considers whether the GARCH framework can be used on a smaller, less liquid market. In particular, selected stocks on the Vancouver Stock Exchange, a smaller market in Canada, are examined. Modeling return volatility in the standard GARCH framework and returns as autoregressive fails to remove significant serial correlation in the mean. The results indicate that once the parameters are adjusted for non-synchronous trading effects, GARCH can also be successful in modeling stochastic volatility on smaller markets. Persistence in both the mean and variance are eliminated with these adjustments. In addition, for some stocks, volumes add explanatory power for explaining return volatility." @default.
• W1586900592 created "2016-06-24" @default.
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• W1586900592 date "1999-01-01" @default.
• W1586900592 modified "2023-09-27" @default.
• W1586900592 title "Modeling asset market volatility in a small market:" @default.
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• W1586900592 doi "https://doi.org/10.1016/s1042-4431(98)00033-x" @default.
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