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Modeling Volatility Using GARCH Models: Evidence from Vietnam

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  • Tran MANH Tuyen

    ()
    (Paris Nord University and CEPN UMR 7234)

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    Abstract

    We explore the relevance of GARCH models in explaining stock return dynamics and volatility on the Vietnamese stock market. Although the evidence suggests that volatility is prevalent on this market, the effects of shocks on volatility are symmetric. The standard GARCH(0,1) model provides the best description of return dynamics. The results of GARCH-M do not show any relation between expected returns and expected risk. There exists only Bull effect, one characteristic of the emerging market. However, we could not find Friday, and low_transaction effects on Vietnamese stock market.

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    File URL: http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I3-P175.pdf
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    Bibliographic Info

    Article provided by AccessEcon in its journal Economics Bulletin.

    Volume (Year): 31 (2011)
    Issue (Month): 3 ()
    Pages: 1935-1942

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    Handle: RePEc:ebl:ecbull:eb-11-00107

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    Related research

    Keywords: Keywords: Vietnamese stock markets; GARCH; volatility; return.;

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    1. Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-31, February.
    2. Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
    3. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
    4. Mauro Mecagni & Maged Sawky Sourial, 1999. "The Egyptian Stock Market," IMF Working Papers 99/48, International Monetary Fund.
    5. Kim, Dongcheol & Kon, Stanley J, 1994. "Alternative Models for the Conditional Heteroscedasticity of Stock Returns," The Journal of Business, University of Chicago Press, vol. 67(4), pages 563-98, October.
    6. Zakoian, Jean-Michel, 1994. "Threshold heteroskedastic models," Journal of Economic Dynamics and Control, Elsevier, vol. 18(5), pages 931-955, September.
    7. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
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    Cited by:
    1. Ezzat, Hassan, 2012. "The Application of GARCH and EGARCH in Modeling the Volatility of Daily Stock Returns During Massive Shocks: The Empirical Case of Egypt," MPRA Paper 50530, University Library of Munich, Germany.
    2. Korkmaz, Turhan & Çevik, Emrah İ. & Atukeren, Erdal, 2012. "Return and volatility spillovers among CIVETS stock markets," Emerging Markets Review, Elsevier, vol. 13(2), pages 230-252.

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