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La modelisation de la volatilite des bourses asiatiques

Author

Listed:
  • Avouyi-Dovi, S.
  • Jondeau, E.

Abstract

En nous inspirant des travaux portant sur les marches boursiers des pays industrialisés, nous analysons la volatilite des rendements boursiers d'Asie du Sud-Est à partir de la méthodologie ARCH. Notre objectif consiste à mettre en évidence les spécificités des marchés boursiers du Sud-Est asiatique, à travers les proprietes statistiques des rendements et le mode de formation de la volatilite. On établit ainsi une base commune de comparaison entre les marchés des pays industrialisés et ceux de ces pays emergents. Cette analyse met en évidence le fait qu'il n'existe pas de différences fondamentales entre les deux zones, au sens ou leurs indices boursiers affichent des propriétés semblables et semblent adopter un mode comparable de formation de la volatilite.

Suggested Citation

  • Avouyi-Dovi, S. & Jondeau, E., 1999. "La modelisation de la volatilite des bourses asiatiques," Working papers 58, Banque de France.
    • Handle: RePEc:bfr:banfra:58
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    More about this item

    Keywords

    modèles ARCH ; volatilite ; distribution de la loi conditionnelle ; effets d’asymetrie;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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