search query: @indexterm macroeconomic models / total: 204
reference: 10 / 204
| Author: | Morelli, D. |
| Title: | The relationship between conditional stock market volatility and conditional macroeconomic volatility: empirical evidence on UK data |
| Journal: | International Review of Financial Analysis
2002 : VOL. 11:1, p. 101-110 |
| Index terms: | AUTOREGRESSION HETEROSCEDASTICITY MACROECONOMIC MODELS STOCK MARKETS VOLATILITY UNITED KINGDOM |
| Language: | eng |
| Abstract: | This paper attempts to determine the relationship between conditional stock market volatility and conditional macroeconomic volatility based upon monthly UK data covering the period January 1967-December 1995. Conditional volatility is estimated using the well-known Autoregressive Conditional Heteroscedastic (ARCH), Generalised ARCH (GARCH) models. |
SCIMA