This article investigates the relationship between initial margin requirements and stock return volatility. Volatility is measured using a GARCH in Mean model. We find no evidence of an empirical relationship between margin requirements and the volatility of the S&P 500 index portfolio's excess retu
β¦ LIBER β¦
Stock returns and volatility: Another look
β Scribed by Ramon P. DeGennaro; Yuzhen Lisa Zhao
- Publisher
- Springer US
- Year
- 1998
- Tongue
- English
- Weight
- 893 KB
- Volume
- 22
- Category
- Article
- ISSN
- 1055-0925
No coin nor oath required. For personal study only.
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