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Well known and frequently applied models to estimate exchange rate volatility are the autoregressive conditional heteroscedastic arch model, advanced by. The sharing of dvdrom data is strictly prohibited unless that user has written authorization from evermotion. Pdf garch and volume effects in the australian stock markets. Our analysis yields strong evidence of long memory in stockmarket volatility, either in terms of stochastic longrange dependence or in the form of deterministic trends.
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