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
  • Table 2. Augmented Dickey-Fuller (ADF) test for the daily NSE 20 share index return series and trading volume
  • Table 3. Ljung box test for the daily stock returns series and trading volume
  • Table 4. Selection criteria for ARMA (p, q) order selection
  • Table 5. ARCH effect test on residuals of the ARMA (2, 0) model
  • Table 6. Parameter Estimation of the AR (2)-EGARCH (1, 1) and AR (2)-TGARCH (1,1) Models without trading volume
  • Table 7. Parameter Estimation of the AR (2)-EGARCH (1, 1) and AR (2)-TGARCH (1,1) Models with trading volume