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Browsing Commerce and Management by Subject "GARCH-M"

Browsing Commerce and Management by Subject "GARCH-M"

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  • Equity Risk Premium Puzzle: Evidence from Indonesia and Sri Lanka 
    Morawakage, P.S.; Nimal, P.D.; Kuruppuarachchi, D. (Bulletin of Indonesian Economic Studies, 2019)
    This paper investigates the equity risk premium puzzle in the Indonesian and Sri Lankan stock markets in order to identify the relationship between the volatility of excess returns and the equity risk premium. The ...
  • Volatility Modeling and its Impact on Risk premium in Emerging markets 
    Morawakage, P.S. (2015)
    This study examines different volatility models to capture the stock market volatility in two emerging markets Indonesia and Sri Lanka. Further the relationship between volatility and risk premium in both markets are ...

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