Open Access. Powered by Scholars. Published by Universities.®
Physical Sciences and Mathematics Commons™
Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 1 of 1
Full-Text Articles in Physical Sciences and Mathematics
Arma-Garch Model Applied To Exchange-Traded Funds, Rebecca Davis
Arma-Garch Model Applied To Exchange-Traded Funds, Rebecca Davis
Open Access Theses & Dissertations
In this paper, time-varying volatility of some of the leading exchange-traded funds are studied. The ARMA mean equation with GARCH errors is used to model the series correlations and the conditional heteroscadesticity in the asset
returns. The conditional distributions of the standardized residuals are assumed to be skew-generalized error distribution. The high kurtosis and fat tail of the returns, were captured in all the data by fitting an ARMA-GARCH model with the conditional distribution of, skew-generalized error distribution.
Furthermore, the sample cross-correlations of these significant exchange-traded funds and the corresponding financial indices they mimic were computed. The empirical conclusion was …