Advanced Search
MyIDEAS: Login

ASYMMETRIES IN CONDITIONAL MEAN AND VARIANCE: MODELLING STOCK RETURNS BY asMA-asQGARCH

Contents:

Author Info

  • Brännäs, Kurt

    ()
    (Department of Economics, Umeå University)

  • de Gooijer, Jan G.

    ()
    (Department of Quantitative Economics)

Abstract

The asymmetric moving average model (asMA) is extended to allow for asymmetric quadratic conditional heteroskedasticity (asQGARCH). The asymmetric parametrization of the conditional variance encompasses the quadratic GARCH model of Sentana (1995). We introduce a framework for testing asymmetries in the conditional mean and the conditional variance, separately or jointly. Some of the new model's moment properties are also derived. Empirical results are given for the daily returns of the composite index of the New York Stock Exchange. There is strong evidence of asymmetry in both the conditional mean and conditional variance functions. In a genuine out-of-sample forecasting experiment the performance of the best fitted asMA-asQGARCH model is compared to pure asMA and no-change forecasts. This is done both in terms of conditional mean forecasting as well in terms of risk forecasting.

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

Paper provided by Umeå University, Department of Economics in its series Umeå Economic Studies with number 535.

as in new window
Length: 21 pages
Date of creation: 16 May 2000
Date of revision:
Publication status: Published in Journal of Forecasting , 2004, pages 155-171.
Handle: RePEc:hhs:umnees:0535

Contact details of provider:
Postal: Department of Economics, Umeå University, S-901 87 Umeå, Sweden
Phone: 090 - 786 61 42
Fax: 090 - 77 23 02
Email:
Web page: http://www.econ.umu.se/
More information through EDIRC

Related research

Keywords: Time series; finance; nonlinearity; estimation; testing; forecasting; NYSE;

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. repec:att:wimass:9002 is not listed on IDEAS
  2. Li, C W & Li, W K, 1996. "On a Double-Threshold Autoregressive Heteroscedastic Time Series Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(3), pages 253-74, May-June.
  3. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  4. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
  5. 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.
  6. Bekaert, Geert & Wu, Guojun, 2000. "Asymmetric Volatility and Risk in Equity Markets," Review of Financial Studies, Society for Financial Studies, vol. 13(1), pages 1-42.
  7. Brannas, K. & Ohlsson, H., 1995. "Asymmetric Cycles and Temporal Aggregation," Papers 1995-11, Uppsala - Working Paper Series.
  8. LeBaron, Blake, 1992. "Some Relations between Volatility and Serial Correlations in Stock Market Returns," The Journal of Business, University of Chicago Press, vol. 65(2), pages 199-219, April.
  9. Sentana,E., 1995. "Quadratic Arch Models," Papers 9517, Centro de Estudios Monetarios Y Financieros-.
  10. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
  11. G. William Schwert, 1990. "Why Does Stock Market Volatility Change Over Time?," NBER Working Papers 2798, National Bureau of Economic Research, Inc.
  12. Gregory Koutmos, 1999. "Asymmetric index stock returns: evidence from the G-7," Applied Economics Letters, Taylor & Francis Journals, vol. 6(12), pages 817-820.
Full references (including those not matched with items on IDEAS)

Citations

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

Cited by:
  1. Brännäs Kurt & De Gooijer Jan G. & Lönnbark Carl & Soultanaeva Albina, 2012. "Simultaneity and Asymmetry of Returns and Volatilities: The Emerging Baltic States' Stock Exchanges," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(1), pages 1-24, January.
  2. Kulp-Tåg, Sofie, 2007. "Short-Horizon Asymmetric Mean-Reversion and Overreactions: Evidence from the Nordic Stock Markets," Working Papers 524, Hanken School of Economics.
  3. Kurt Brannas & Albina Soultanaeva, 2011. "Influence of news from Moscow and New York on returns and risks of Baltic States’ stock markets," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 11(1), pages 109-124, July.
  4. Brännäs, Kurt & Nordman, Niklas, 2001. "An Alternative Conditional Asymmetry Specification for Stock Returns," UmeÃ¥ Economic Studies 556, Umeå University, Department of Economics.
  5. Malmsten, Hans & Teräsvirta, Timo, 2004. "Stylized Facts of Financial Time Series and Three Popular Models of Volatility," Working Paper Series in Economics and Finance 563, Stockholm School of Economics, revised 03 Sep 2004.
  6. Brännäs, Kurt & Soultanaeva, Albina, 2006. "Influence of News in Moscow and New York on Returns and Risks on Baltic State Stock Indices," UmeÃ¥ Economic Studies 696, Umeå University, Department of Economics.
  7. Brännäs, Kurt, 2003. "Temporal Aggregation of the Returns of a Stock Index Series," UmeÃ¥ Economic Studies 614, Umeå University, Department of Economics.
  8. Kurt Brannas & Niklas Nordman, 2003. "Conditional skewness modelling for stock returns," Applied Economics Letters, Taylor & Francis Journals, vol. 10(11), pages 725-728.
  9. Taştan, Hüseyin, 2011. "Simulation based estimation of threshold moving average models with contemporaneous shock asymmetry," MPRA Paper 34302, University Library of Munich, Germany.

Lists

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

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:hhs:umnees:0535. 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: (Kjell-Göran Holmberg).

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.