Modeling the volatility of FTSE All Share Index Returns

Selçuk Bayracı ()

MPRA Paper from University Library of Munich, Germany

Abstract: We tested different GARCH models in modeling the volatility of stock returns in London Stock Exchange. The monthly returns of FTSE All Share Index during the period of February 1965 and October 2002 and GARCH, TGARCH, EGARCH, and AGARCH models have been used for the analysis.

Keywords: volatility modeling; GARCH; EGARCH; TGARCH; AGARCH (search for similar items in EconPapers)
JEL-codes: C01 C51 (search for similar items in EconPapers)
Date: 2007-04-27
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:28095

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