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The Volatility for Pre and Post Global Financial Crisis: An Application of Computational Finance

Author

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  • Shih-Yung Wei

    (National Yunlin University of Science & Technology, Taiwan)

  • Jack J. W. Yang

    (National Yunlin University of Science & Technology, Taiwan)

  • Jen-Tseng Chen

    (TransWorld University, Taiwan)

  • Wei-Chiang Samuelson Hong

    (Oriental Institute of Technology, Taiwan)

Abstract

The asymmetric volatility, temporary volatility, and permanent volatility of financial asset returns have attracted much interest in recent years. However, a consensus has not yet been reached on the causes of them for both the stocks and markets. This paper researched asymmetric volatility and short-run and long-run volatility through global financial crisis for eight Asian markets. EGARCH and CGARCH models are employed to deal with the daily return to examine the degree of asymmetric volatility (temporary volatility and permanent volatility). The authors find that after global financial crisis asymmetric volatility is lower (expect Hong Kong), and the long-run effect is more than the short-run effect. The empirical results for the short-run show that, after global financial crisis, there is significant decreasing in China and Taiwan but not in Japan; the others are significantly increasing. For the long-run, there is significant decreasing (except Thailand and Korea).

Suggested Citation

  • Shih-Yung Wei & Jack J. W. Yang & Jen-Tseng Chen & Wei-Chiang Samuelson Hong, 2011. "The Volatility for Pre and Post Global Financial Crisis: An Application of Computational Finance," International Journal of Applied Evolutionary Computation (IJAEC), IGI Global, vol. 2(2), pages 82-95, April.
    • Handle: RePEc:igg:jaec00:v:2:y:2011:i:2:p:82-95
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