GARCH Analysis of Switchers

John Board, Alfonso Dufour, Yusuf Hartavi, Charles Sutcliffe and Stephen Wells
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John Board: Henley Business School, University of Reading
Yusuf Hartavi: Henley Business School, University of Reading
Stephen Wells: Henley Business School, University of Reading

Chapter 12 in Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies, 2015, pp 83-86 from Palgrave Macmillan

Abstract: Abstract A more complex analysis of the switchers was conducted by using high-frequency data to construct GARCH models for the dynamics of volatility. In this analysis 19% of the switchers showed a significant change in volatility with a majority of these showing lower volatility in the AIM period.

Keywords: High Volatility; GARCH Model; Capital Asset Price Model; Stock Trade; Risk Component (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-36130-1_12

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DOI: 10.1057/9781137361301_12

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