Abstract:This paper proposes a three variable’s double threshold-GRACH model, and uses this model to discuss U.S., U.K. and Australian stock return volatilities on the influence of the Brazil’s stock market. The empirical result demonstrates that the three variable’s double threshold-GARCH(1, 1) model is indeed appropriate, and also the response to the Brazil stock market has an asymmetrical effect. The empirical result also shows the different influence of the good news and the bad news on the eight kinds of the propo… Show more
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