Estimating stock market volatility using asymmetric GARCH models
AbstractA comprehensive empirical analysis of the mean return and conditional variance of Tel Aviv Stock Exchange (TASE) indices is performed using various GARCH models. The prediction performance of these conditional changing variance models is compared to newer asymmetric GJR and APARCH models. We also quantify the day-of-the-week effect and the leverage effect and test for asymmetric volatility. Our results show that the asymmetric GARCH model with fat-tailed densities improves overall estimation for measuring conditional variance. The EGARCH model using a skewed Student-t distribution is the most successful for forecasting TASE indices.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics.
Volume (Year): 18 (2008)
Issue (Month): 15 ()
Contact details of provider:
Web page: http://www.tandf.co.uk/journals/routledge/09603107.html
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Výrost, Tomáš & Baumöhl, Eduard, 2009.
"Asymmetric GARCH and the financial crisis: a preliminary study,"
27909, University Library of Munich, Germany.
- Výrost, Tomáš & Baumöhl, Eduard, 2009. "Asymmetric GARCH and the financial crisis: a preliminary study," MPRA Paper 27939, University Library of Munich, Germany.
- Zhu, Dongming & Galbraith, John W., 2010.
"A generalized asymmetric Student-t distribution with application to financial econometrics,"
Journal of Econometrics,
Elsevier, vol. 157(2), pages 297-305, August.
- John Galbraith & Dongming Zhu, 2009. "A Generalized Asymmetric Student-T Distribution With Application To Financial Econometrics," Departmental Working Papers 2009-02, McGill University, Department of Economics.
- Dongming Zhu & John Galbraith, 2009. "A Generalized Asymmetric Student-t Distribution with Application to Financial Econometrics," CIRANO Working Papers 2009s-13, CIRANO.
- John Galbraith & Dongming Zhu, 2009.
"Forecasting Expected Shortfall With A Generalized Asymmetric Student-T Distribution,"
Departmental Working Papers
2009-01, McGill University, Department of Economics.
- Dongming Zhu & John Galbraith, 2009. "Forecasting Expected Shortfall with a Generalized Asymmetric Student-t Distribution," CIRANO Working Papers 2009s-24, CIRANO.
- Piotr Wdowinski & Marta Malecka, 2010. "Asymmetry in Volatility: A Comparison of Developed and Transition Stock Markets," CESifo Working Paper Series 2974, CESifo Group Munich.
- Shcherba, Alexandr, 2012. "Market risk valuation modeling for the European countries at the financial crisis of 2008," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 27(3), pages 20-35.
- Guidi, Francesco, 2008.
"Volatility and Long Term Relations in Equity Markets: Empirical Evidence from Germany, Switzerland, and the UK,"
11535, University Library of Munich, Germany.
- Francesco Guidi, 2009. "Volatility and Long-Term Relations in Equity Markets: Empirical Evidence from Germany, Switzerland, and the UK," The IUP Journal of Financial Economics, IUP Publications, vol. 0(2), pages 7-39, June.
- Zhu, Dongming & Galbraith, John W., 2011. "Modeling and forecasting expected shortfall with the generalized asymmetric Student-t and asymmetric exponential power distributions," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 765-778, September.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.