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Range-based and GARCH volatility estimation: Evidence from the French asset market

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  • Benlagha, Noureddine
  • Chargui, Sana

Abstract

This paper aims to measure and compare French stock and bond market volatilities using various range-based volatility estimators and conditional heteroskedasticity models. Particularly, we measure volatility for stock returns related to five major companies operating in different sectors and four French bonds with different maturity dates and different reference indices.

Suggested Citation

  • Benlagha, Noureddine & Chargui, Sana, 2017. "Range-based and GARCH volatility estimation: Evidence from the French asset market," Global Finance Journal, Elsevier, vol. 32(C), pages 149-165.
    • Handle: RePEc:eee:glofin:v:32:y:2017:i:c:p:149-165
    DOI: 10.1016/j.gfj.2016.04.001
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    Cited by:

    1. B M, Lithin & chakraborty, Suman & iyer, Vishwanathan & M N, Nikhil & ledwani, Sanket, 2022. "Modeling asymmetric sovereign bond yield volatility with univariate GARCH models: Evidence from India," MPRA Paper 117067, University Library of Munich, Germany, revised 05 Jan 2023.
    2. Benlagha, Noureddine, 2020. "Stock market dependence in crisis periods: Evidence from oil price shocks and the Qatar blockade," Research in International Business and Finance, Elsevier, vol. 54(C).

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    More about this item

    Keywords

    Volatility; Assets; Range-based volatility; GARCH models;
    All these keywords.

    JEL classification:

    • L61 - Industrial Organization - - Industry Studies: Manufacturing - - - Metals and Metal Products; Cement; Glass; Ceramics
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • G19 - Financial Economics - - General Financial Markets - - - Other
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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