Transitory and Permanent Volatility Components: The Case of the Middle East Stock Markets
Recent research has suggested that returns volatility may contain both short-run and long-run components due to the existence of heterogeneous information flows or heterogeneous agents (Andersen and Bollerslev 1997a, 1997b; Müller et al., 1997). This paper investigates the existence of such volatility decomposition in daily index returns data for nine emerging markets in the Middle East region using the permanent-transitory component variance model of Engle and Lee (1993). The existence of a component structure to volatility is supported by the existence of a transitory component to volatility and a permanent volatility that decays over a much longer horizon in three markets in the Middle East, namely Jordan, Oman, and Saudi Arabia. The component model was able to capture all structure within the data for Saudi Arabia on the basis of residual tests. However, some structure in the residuals remains in the Oman and Jordan markets.
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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 4 (2008)
Issue (Month): 2 (April)
|Contact details of provider:|| Web page: http://www.degruyter.com|
|Order Information:||Web: http://www.degruyter.com/view/j/rmeef|
When requesting a correction, please mention this item's handle: RePEc:bpj:rmeecf:v:4:y:2008:i:2:n:3. 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: (Peter Golla)
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.