Browsing by Subject "EGARCH"

Filter results by typing the first few letters
Now showing 1 - 2 of 2
  • Thumbnail Image
    ItemOpen Access
    Seasonality in inflation volatility: evidence from Turkey
    (Universidad del CEMA, 2010) Berument, Hakan; Sahin, A.
    This paper assesses the presence of seasonal volatility in price indexes where a similar type of pattern has been reported in asset prices in financial markets. The empirical evidence from Turkey for the monthly period from 1987:01 to 2007:05 suggests the presence of seasonality in the conditional variance of inflation. Thus, inferences for the models that do not account for the seasonality in the conditional variance will be misleading.
  • Thumbnail Image
    ItemOpen Access
    Stock market return and volatility: day-of-the-week effect
    (Springer New York LLC, 2012) Berument, Hakan; Dogan, N.
    This paper examines the stock market returns and volatility relationship using US daily returns from May 26, 1952 to September 29, 2006. The empirical evidence reported here does not support the proposition that the return-volatility relationship is present and the same for each day of the week. © 2010 Springer Science+Business Media, LLC.