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| 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. |
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