IDEAS home Printed from https://ideas.repec.org/a/bjf/journl/v10y2025i2p663-674.html
   My bibliography  Save this article

Forecasting Performance of Asymmetric GARCH in Stock Market Volatility Models: Relative Potency of EGARCH and PGARCH Models

Author

Listed:
  • Godwin Chigozie Okpara

    (Department of Banking and Finance, Abia State University Uturu)

  • Nzeadibe Okechukwu Henry

    (Department Economics, College of Education Arochukwu)

Abstract

Asymmetric volatility phenomenon is a market dynamic which shows that there are higher market volatility levels in market downswings (negative shocks) than in market upswings (positive shocks). It implies that volatility tends to increase in response to bad news and decrease in response to good news (Okpara, 2016). In other words, the presence of asymmetric volatility is mostly apparent during stock market crisis when a large decline in stock price is associated with a significant increase in market volatility (Wu 2001). This implies that negative surprises have a much greater effect on volatility than do positive ones. This situation is commonly associated with the financial market where ‘bad news’ (negative shocks) is found to have larger impact on volatility than good news (positive shocks) of the same magnitude.

Suggested Citation

  • Godwin Chigozie Okpara & Nzeadibe Okechukwu Henry, 2025. "Forecasting Performance of Asymmetric GARCH in Stock Market Volatility Models: Relative Potency of EGARCH and PGARCH Models," International Journal of Research and Innovation in Applied Science, International Journal of Research and Innovation in Applied Science (IJRIAS), vol. 10(2), pages 663-674, February.
    • Handle: RePEc:bjf:journl:v:10:y:2025:i:2:p:663-674
    as

    Download full text from publisher

    File URL: https://www.rsisinternational.org/journals/ijrias/digital-library/volume-10-issue-2/663-674.pdf
    Download Restriction: no
    File URL: https://rsisinternational.org/journals/ijrias/articles/forecasting-performance-of-asymmetric-garch-in-stock-market-volatility-models-relative-potency-of-egarch-and-pgarch-models/
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bjf:journl:v:10:y:2025:i:2:p:663-674. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Dr. Renu Malsaria (email available below). General contact details of provider: https://rsisinternational.org/journals/ijrias/ .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.