Asymmetric GARCH and the financial crisis: a preliminary study
AbstractThe paper deals with estimation of both general GARCH as well as asymmetric EGARCH and TGARCH models, used to model the leverage effect of good news and bad news on market volatility. We estimate the models using daily returns of S&P 500 stock index and describe the news impact curves (NICs) for these models. When estimating the crisis series, we show the possibility of using a news impact surface to describe the results from models of higher orders.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 27909.
Date of creation: 03 Nov 2009
Date of revision:
volatility modeling; financial crisis; asymmetric GARCH class models; news impact curve;
Other versions of this item:
- Výrost, Tomáš & Baumöhl, Eduard, 2009. "Asymmetric GARCH and the financial crisis: a preliminary study," MPRA Paper 27939, University Library of Munich, Germany.
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- G01 - Financial Economics - - General - - - Financial Crises
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