2 articles for “TARCH”

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Research ArticleOpen accessIn the keywordsThe Volatility and Asymmetry of Won/Dollar Exchange RateSeok Yoon, Ki Seong LeeThe study on volatility and asymmetry of the exchange rate by applied to the daily Won/Dollar exchange rate shows that past volatility of the exchange rate still has strong persistency at present and asymmetry effect and the leverage effect, which explain that volatility shock has an effect on the uncertainty of the exchange rate, are also existent after the free … …Journal of Social Sciences, Vol. 4, Issue 1 · 31 Mar 2008 · 8,567 accessesView PDF Cite

Research ArticleOpen accessIn the abstractAre There Smaller Leverage Effects in Less-Developed Markets? Evidence from an Oil Exporting CountryMosayeb Phalavani, Parinaz EzzatiProblem statement: This study uses daily data from the Tehran Stock Market (TSM) to illustrate the nature of stock market volatility in an undeveloped and young stock market. Although most studies suggest that a negative shock to stock prices will generate more volatility than a positive shock of equal magnitude but there is no evidence of asymmetric effect in TSM. … …American Journal of Applied Sciences, Vol. 7, Issue 1 · 31 Jan 2010 · 7,519 accessesView PDF Cite