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Tables index
From
Modelling the Effects of Trading Volume on Stock Return Volatility Using Conditional Heteroskedastic Models
Edwin Moyo, Antony Gichuhi Waititu, Antony Ngunyi
Journal of Finance and Economics
.
2018
, 6(5), 193-200 doi:10.12691/jfe-6-5-5
Table 1. Descriptive statistics of the daily stock returns and trading volume
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Table 2. Augmented Dickey-Fuller (ADF) test for the daily NSE 20 share index return series and trading volume
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Table 3. Ljung box test for the daily stock returns series and trading volume
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Table 4. Selection criteria for ARMA (p, q) order selection
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Table 5. ARCH effect test on residuals of the ARMA (2, 0) model
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Table 6. Parameter Estimation of the AR (2)-EGARCH (1, 1) and AR (2)-TGARCH (1,1) Models without trading volume
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Table 7. Parameter Estimation of the AR (2)-EGARCH (1, 1) and AR (2)-TGARCH (1,1) Models with trading volume
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