Open AccessTurn-off-the-Month Effect on Stocks in LQ45 Index and Various Sectors in the Indonesia Stock Exchange using GARCH (p,q)
Author(s) -
Galih Pandekar,
Nadia Putrini
Publication year - 2012
Publication title -
indonesian capital market review
Language(s) - English
Resource type - Journals
eISSN - 2356-3818
pISSN - 1979-8997
DOI - 10.21002/icmr.v4i1.3667
Subject(s) - autoregressive conditional heteroskedasticity , stock exchange , emerging markets , economics , financial economics , index (typography) , stock (firearms) , monetary economics , stock market index , econometrics , business , stock market , volatility (finance) , geography , finance , computer science , context (archaeology) , archaeology , world wide web