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Forecasting volatility of the ASEAN-5 stock markets: a nonlinear approach with non-normal errors

Author

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  • Guidi, Francesco
  • Gupta, Rakesh

Abstract

This paper aims to model and forecast the volatility of stock markets belonging to the five founder members of the Association of South-East Asian Nations, referred to as the ASEAN-5. By using Asymmetric-PARCH (APARCH) models with two different distributions (Student-t and GED) we aim to identify whether or not an asymmetric effect characterises the relation among stock return and volatility in the ASEAN-5 markets as well as under which statistical distribution these models perform better. By using several forecast error measures we show that APARCH models with t-distribution usually perform better.

Suggested Citation

  • Guidi, Francesco & Gupta, Rakesh, 2012. "Forecasting volatility of the ASEAN-5 stock markets: a nonlinear approach with non-normal errors," Greenwich Papers in Political Economy 8242, University of Greenwich, Greenwich Political Economy Research Centre.
    • Handle: RePEc:gpe:wpaper:8242
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    Cited by:

    1. Laura Grace Gabriella & Revathy Suryanarayana & Vania Esady, 2016. "Financial Integration in ASEAN-5," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, vol. 62, pages 44-58, April.
    2. Mehmet Sahiner, 2022. "Forecasting volatility in Asian financial markets: evidence from recursive and rolling window methods," SN Business & Economics, Springer, vol. 2(10), pages 1-74, October.

    More about this item

    Keywords

    ASEAN; leverage effect; forecast;
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