Volatility Models

Sardar M. N. Islam () and Sethapong Watanapalachaikul ()
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Sardar M. N. Islam: Victoria University
Sethapong Watanapalachaikul: Victoria University

Chapter 8 in Empirical Finance, 2005, pp 123-146 from Springer

Abstract: Abstract Following the Asian economic crisis and the devaluation of the Thai baht, most financial markets in South East Asian countries, particularly in Thailand, experienced a crash in capital markets and dramatic declines in exchange rates of major currencies (Titman and Wei 1999). The Thai currency lost half of its value against the US dollar within a few months after the announcement of its currency devaluation in 1997. As a result of the crisis, the Thai stock market crashed and stock prices suddenly fell by 70 per cent by the end of 1997, causing the market to be very volatile in subsequent years.

Keywords: Stock Market; Stock Price; Stock Return; Conditional Variance; Stochastic Volatility (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/978-3-7908-2666-1_8

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