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Modeling Stock Market Volatility Using GARCH Models: A Case Study of Nairobi Securities Exchange (NSE)
16 references·1 citing·24 second hop
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 2008Introductory Econometrics for Finance3,662 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 1986Generalized autoregressive conditional heteroscedasticity1,810 cited
  • 2010Analysis of Financial Time Series1,035 cited
  • 1976Studies of stock market volatility changes885 cited
  • 1989Common Stochastic Trends in a System of Exchange Rates626 cited
  • 2008Introductory econometrics for finance. 2nd edition

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462 cited
  • 2005On a threshold heteroscedastic model293 cited
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    • 2024A Systematic Review on Graph Neural Network-based Methods for Stock Market Forecasting48 cited