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- W1605415351 abstract "Abstract : This paper confirms presence of GARCH () 1,1 effect on stock return time series of Vietnam’s newborn stock market. We performed tests on four different time series, namely market returns (VN-Index), and return series of the first four individual stocks listed on the Vietnamese exchange (the Ho Chi Minh City Securities Trading Center) since August 2000. The results have been quite relevant to previously reported empirical studies on different markets. JEL classification: C12; C22 Author: Vuong Quan Hoang Solvay Business School, Universite Libre de Bruxelles; and Mezfin Research (Vietnam) E-mail: qvuong@ulb.ac.be (alt. hoang@mezfin.com) The phenomenon of ‘volatility clustering’ Financial time series such as stock returns, usually exhibit the character of ‘volatility clustering’, especially with high-frequency data (daily). The phenomenon, for instance, characterizes the observed tendency, with which large change in stock return will likely be followed by subsequent large changes. As to Vietnam’s 25-month-old stock market, the following graphs are to visualize the tendency of stock returns. Traditionally, daily returns are computed as follows:" @default.
- W1605415351 created "2016-06-24" @default.
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- W1605415351 date "2002-01-01" @default.
- W1605415351 modified "2023-09-27" @default.
- W1605415351 title "Empirical Evidence of Conditional Heteroskedasticity in Vietnam’s Stock Returns Time Series" @default.
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