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Non-linear Volatility and Dynamics of the Tunisian Stock Market
2014
International Journal of Economics Finance and Management Sciences
Measuring and controlling risk is one of the most attractive issues in finance. With the persistence of uncontrolled and erratic stocks movements, volatility is perceived as a barometer of daily fluctuations. An objective measure of this variable seems then needed to control risks and cover those that are considered the most important. Non-linear autoregressive modeling is our first evaluation approach. In particular, we test the presence of "persistence" of conditional variance and the
doi:10.11648/j.ijefm.20140201.14
fatcat:dmx4bryfk5afjlippjykk7cysq