Morelli, David A. (2002) 'The Relationship between Conditional Stock Market Volatility and Conditional Macroeconomic Volatility. Empirical Evidence Based on UK Data'. International Review of Financial Analysis, 11 (1). pp. 101-110. ISSN 1057-5219. (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)
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. The macroeconomic variables used include industrial production, real retail sales, money supply, inflation, and an exchange rate variable, namely the German Deutsche mark/pound.
|Subjects:||H Social Sciences > HG Finance|
|Divisions:||Faculties > Social Sciences > Kent Business School > Accounting and Finance|
|Depositing User:||David Morelli|
|Date Deposited:||18 Oct 2008 20:52|
|Last Modified:||02 Jun 2014 12:57|
|Resource URI:||https://kar.kent.ac.uk/id/eprint/9217 (The current URI for this page, for reference purposes)|