Artikel
Stock Market Volatility and Deviations from Macroeconomic Fundamentals: Evidence from GARCH and GARCH-X Models
Aktienmarkt-Volatilität und Abweichungen von den makroökonomischen Fundamentalfaktoren: Beweise auf der Grundlage der Modelle GARCH und GARCH-X In diesem Beitrag werden die Volatilität des US-Aktienmarktes und die Auswirkungen kurzfristiger Abweichungen zwischen Aktienkursen und bestimmten makroökonomischen Fundamentalfaktoren in der Zeit von Januar 1978 bis Dezember 1996 untersucht. Die angewandte Methodik ist die der Modelle GARCH und GARCH-X. Die Ergebnisse zeigen, daß das Modell GARCH-X dem Standardmodell GARCH überlegen ist, obwohl sie auf eine signifikante Auswirkung der kurzfristigen Abweichungen auf die Volatilität hindeuten.
- Language
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Englisch
- Bibliographic citation
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Journal: Kredit und Kapital ; ISSN: 0023-4591 ; Volume: 31 ; Year: 1998 ; Issue: 3 ; Pages: 400-412
- Classification
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Wirtschaft
General Financial Markets: General (includes Measurement and Data)
- Event
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Geistige Schöpfung
- (who)
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Apergis, Nicholas
- Event
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Veröffentlichung
- (who)
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Duncker & Humblot
- (where)
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Berlin
- (when)
-
1998
- DOI
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doi:10.3790/ccm.31.3.400
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Apergis, Nicholas
- Duncker & Humblot
Time of origin
- 1998
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