Abstract
A more complex analysis of the switchers was conducted by using high-frequency data to construct GARCH models for the dynamics of volatility. In this analysis 19% of the switchers showed a significant change in volatility with a majority of these showing lower volatility in the AIM period.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Author information
Authors and Affiliations
Copyright information
© 2015 John Board, Alfonso Dufour, Yusuf Hartavi, Charles Sutcliffe and Stephen Wells
About this chapter
Cite this chapter
Board, J., Dufour, A., Hartavi, Y., Sutcliffe, C., Wells, S. (2015). GARCH Analysis of Switchers. In: Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies. Palgrave Pivot, London. https://doi.org/10.1057/9781137361301_12
Download citation
DOI: https://doi.org/10.1057/9781137361301_12
Publisher Name: Palgrave Pivot, London
Print ISBN: 978-1-349-47228-4
Online ISBN: 978-1-137-36130-1
eBook Packages: Palgrave Economics & Finance CollectionEconomics and Finance (R0)