Estimating volatility patterns using GARCH models: A case study on Swedish stock market
Estimating volatility patterns using GARCH models: A case study on Swedish stock market
Author(s): Ramona Birau, Jatin Trivedi, Rachana Baid, Ion Florescu, Mircea Laurenţiu SimionSubject(s): National Economy, Financial Markets, Socio-Economic Research
Published by: Editura Universitaria Craiova
Keywords: volatility patterns; GARCH models; developed stock market; abnormal returns; investor; random walk;
Summary/Abstract: The main aim of this research paper is to estimate volatility patterns using GARCH models based on a case study on Swedish stock market. The selected time period covers the long time interval from December 2008 to December 2022. In other words, the analyzed period includes certain extreme events such as global financial crisis of 2008 and COVID-19 pandemic which had a significant impact on most stock markets in Europe. The econometric framework includes GARCH family models. This empirical research study contributes to the existing literature on the behavior of the developed stock market from Sweden.
Journal: Revista de Științe Politice. Revue des Sciences Politiques
- Issue Year: 2023
- Issue No: 78
- Page Range: 50-59
- Page Count: 10
- Language: English