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CORRELATION AND VOLATILITY STOCK MARKETS AT JAPAN, USA, AND UK
(Universitas Pelita Harapan Surabaya - Faculty Of Business School - Master Of Management, 2010-09-03)
This study discusses the correlation and volatility of the Nikkei index, Dow Jones and FTSE in the year 2006 - June 2010 by using the GARCH model is GARCH (1,1) for both contemporaneous and dynamic volatility volatility ...