Modelling Volatility and Risk-return of Equities - Abonongo, John
36,99 €
inkl. MwSt.
Versandkostenfrei*
Versandfertig in 1-2 Wochen
payback
18 °P sammeln
  • Broschiertes Buch

Principal component analysis was used in selecting equities that characterized each sector. The results revealed that, for the Finance sector, CAL, ETI and GCB were selected, the Distribution sector had PBC and TOTAL selected, the Food and Beverage sector had FML selected, the Information Communication Technology sector had CLYD selected, the Insurance sector had EGL selected, the Manufacturing and Mining sectors had PZC, UNIL and TLW, AGA selected respectively. The symmetry and asymmetry of the daily returns of the selected equities as well as the risk-return relationship was investigated…mehr

Andere Kunden interessierten sich auch für
Produktbeschreibung
Principal component analysis was used in selecting equities that characterized each sector. The results revealed that, for the Finance sector, CAL, ETI and GCB were selected, the Distribution sector had PBC and TOTAL selected, the Food and Beverage sector had FML selected, the Information Communication Technology sector had CLYD selected, the Insurance sector had EGL selected, the Manufacturing and Mining sectors had PZC, UNIL and TLW, AGA selected respectively. The symmetry and asymmetry of the daily returns of the selected equities as well as the risk-return relationship was investigated using the univariate GARCH-M (1, 1), EGARCH-M (1, 1) and TGARCH-M (1, 1) models and the results indicated the existence of positive risk premium meaning investors were compensated for holding risky assets. The results also showed that, the asymmetry models gave a better fit than the symmetry model indicating the presence of leverage effect among the selected equities. TGARCH-M (1, 1) model withthe student-t distribution was the appropriate model selected. It was revealed that volatility was persistent (explosive process) in most of the selected equities with the three distributional assumptions.
Hinweis: Dieser Artikel kann nur an eine deutsche Lieferadresse ausgeliefert werden.
Autorenporträt
John Abonongo holds a Bsc. Actuarial Science degree from the University for Development Studies, Tamale, Ghana and an Mphil Actuarial Science degree from the Kwame Nkrumah University of Science and Technology, Kumasi, Ghana.