Abstract:
In this study the regression asymmetric moving average model with Generalised Autoregressive Conditional Heteroscedastic variance (GARCH) is considered, to see the impact of money supply announcements like RPI and M3 on the financial time series like share price series (FT500). Finally after fitting regression asymmetric moving average models, it is observed that the share price series (FT500) is slightly depressed by M3 and RPI money supply announcements, but this effect was not significant.
Page(s):
123-128
DOI:
DOI not available
Published:
Journal: Journal of Engineering and Applied Sciences, Volume: 11, Issue: 1, Year: 1992