2026-09-22T00:09:23Z https://www.ideals.illinois.edu/oai-pmh

oai:www.ideals.illinois.edu:2142/85683 2023-07-11 col_2142_5131 col_2142_14830 com_2142_5130 com_2142_14829 com_2142_8903

Soyoung Kim Barreto, Andre Horta 2015-09-25T22:47:56Z 2015-09-25T22:47:56Z 10000-01-01 2001 2001 The third essay analyzes empirically the issues of GARCH effects in six stock market index return series, namely the DJIA, IBOVESPA, IPC, KOSPI200, SBF 120, and TSE300. Our results show that trading volume has a limited role in explaining GARCH effects in all six series. This is because volume does not fully capture information arrival at the aggregate level. Regarding the monetary policy, GARCH effects did not entirely vanish for most of the countries but it helped explain them. Interest rate first difference and interest rate first difference squared were not helpful in explaining GARCH effects in our sample. Finally, the introduction of the interest rate conditional volatility in the variance equation of the GARCH (1,1) specifications was very fruitful. It seems that GARCH effects vanished for some of the countries. The interest rate volatility captured well the information arrival in the sample. Made available in DSpace on 2015-09-25T22:47:56Z (GMT). No. of bitstreams: 2 license.txt: 4848 bytes, checksum: 96035ab3f5e1c23cc7138a224ce498bd (MD5) 9996614.pdf: 4246144 bytes, checksum: 036db376e5addb5beca9feebea6ffcad (MD5) Previous issue date: 2001 Embargo set by: Seth Robbins for item 86964 Lift date: Forever Reason: Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs U of I Only 104 p. Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2001. http://hdl.handle.net/2142/85683 (MiAaPQ)AAI9996614 eng Economics, General Essays on International Finance text Economics Economics University of Illinois at Urbana-Champaign Dissertation Ph.D.