Advanced Search
MyIDEAS: Login to save this paper or follow this series

Modeling Nordic Stock Returns with Asymmetric GARCH models


Author Info

  • Hagerud, Gustaf E.

    (Department of Finance)

Registered author(s):


    This paper investigates the presence of asymmetric GARCH effects in a number of equity return series, and compare the modeling performance of seven different conditional variance models, within the parametric GARCH class of models. The data consists of daily returns for 45 Nordic stocks, during the period July 1991 to July 1996. The models investigated are: EGARCH, GJR, TGARCH, A- PARCH, GQARCH, VS-ARCH, and LSTGARCH. In all these models the conditional variance is a function of the sign of lagged residuals. Thus, the models can capture the often reported negative correlation between lagged returns and conditional variance. In the paper I also introduce three new procedures for asymmetry testing. The proposed LM tests, which are based on the results of Wooldridge [1991], allow for heterokurtosis under the null. Asymmetries are detected for only 12 of the 45 series. The specifications GJR, TGARCH, and GQARCH appear to be superior for modeling the dynamics of the conditional variance. Furthermore, I show that the use of robust test statistics is advisable.

    Download Info

    If 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.
    File URL:
    Download Restriction: no

    File URL:
    Download Restriction: no

    File URL:
    Download Restriction: no

    File URL:
    Download Restriction: no

    File URL:
    Download Restriction: no

    Bibliographic Info

    Paper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 164.

    as in new window
    Length: 26 pages
    Date of creation: Mar 1997
    Date of revision:
    Handle: RePEc:hhs:hastef:0164

    Contact details of provider:
    Postal: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden
    Phone: +46-(0)8-736 90 00
    Fax: +46-(0)8-31 01 57
    Web page:
    More information through EDIRC

    Related research

    Keywords: GARCH; asymmetry; equity returns; model evaluation;

    Find related papers by JEL classification:


    No references listed on IDEAS
    You can help add them by filling out this form.


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Menelaos Karanasos & J. Kim, . "Moments of the ARMA-EGARCH Model," Discussion Papers, Department of Economics, University of York 00/29, Department of Economics, University of York.
    2. Menelaos Karanasos & J. Kim, . "Alternative GARCH in Mean Models: An Application to the Korean Stock Market," Discussion Papers, Department of Economics, University of York 00/25, Department of Economics, University of York.


    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


    Access and download statistics


    When requesting a correction, please mention this item's handle: RePEc:hhs:hastef:0164. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Helena Lundin).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.