What Causes Clustered and Asymmetric Volatility of Stock Returns? PDF Download
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Author: Ryuichi Yamamoto
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 67
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Book Description
Author: Ryuichi Yamamoto
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 67
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Book Description
Author: Michel Crouhy
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Encompassing a very broad family of ARCH-GARCH models we show that heteroskedasticity, already well documented for the US market, is a worldwide phenomenon. The AT-GARCH (1,1) model, where volatility rises more in response to bad news than to good news, and where news is considered bad only below a certain level, is found to be a remarkably robust representation of worldwide stock market returns. The residual structure is then captured by extending ATGARCH (1,1) to an hysteresis model, HGARCH, where we model structured memory effects from past innovations. Obviously, this feature relates to the psychology of the markets and the way traders process information. For the French stock market we show that a shock of either sign may affect volatility differently, depending on the recent past being characterized by either all positive or all negative returns. In the same way a longer term trend of either sign may also influence the impact on volatility of current innovations. It is found that bad news is discounted very quickly in volatility, this effect is reinforced when it comes after a negative trend in the stock index. On the opposite, good news has a very small impact on volatility except when it is clustered over a few days, which in this case reduces volatility substantially.
Author: Cathy Ning
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Category :
Languages : en
Pages :
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Author: Ercan Balaban
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 41
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Author: Shahid Ahmed
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ISBN:
Category :
Languages : en
Pages : 0
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This study is an attempt to model the volatility of stock returns in Indian market for the period 1997-2006 using GARCH, TARCH and E-GARCH. Results point out that returns exhibit persistence and volatility clustering in both NSE Nifty and BSE Sensex. Asymmetric volatility effect has been observed in both the series using TARCH and E-GARCH model. While forecasting returns it is found that GARCH-M performs better compared to alternative econometric models, namely, RW, OLS, GARCH, GARCH-M, TARCH and E-GARCH models. It is revealed that one-step ahead forecast improves by using GARCH and its variant models, which goes against the concept of random walk hypothesis. Results of this study also indicate that certain anomalies still exist which makes the stock market inefficient. In this context, SEBI is expected to play proactive role in a manner, which makes market capable to value the intrinsic price of assets.
Author: Yang Wang
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Category :
Languages : en
Pages :
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Author: Georg Michael Rockinger
Publisher:
ISBN: 9782854185218
Category :
Languages : en
Pages : 48
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Résumé en anglais
Author: Thomas Chinan Chiang
Publisher:
ISBN:
Category :
Languages : en
Pages : 32
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Book Description
This paper examines the hypothesis that both stock returns and volatility are asymmetric functions of past information derived from domestic and U.S. stock-market news. The results show the presence of negative autocorrelation, which is consistent with the dominance of positive-feedback trading behavior. By employing a double-threshold autoregressive GARCH model to investigate four major index-return series, the study finds significant evidence to sustain the asymmetric hypothesis of stock returns. Specifically, this paper finds that negative news will cause a decline in national stock returns that is larger than the gain caused by good news of an equivalent magnitude. This also holds true for the conditional variance. The return appears to be more volatile and persistent when bad news hits the market than when good news does.
Author: Ludger Hentschel
Publisher:
ISBN:
Category :
Languages : en
Pages : 119
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Author: Thomas Chinan Chiang
Publisher:
ISBN:
Category :
Languages : en
Pages : 35
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Book Description
This paper examines the hypothesis that both stock returns and volatility are asymmetrical functions of past information derived from domestic and US stock market news. By employing a double-threshold regression GARCH model to investigate four major index return series, we find significant evidence to sustain the asymmetrical hypothesis of stock returns. Specifically, evidence strongly supports the hypothesis that stock index returns are positively correlated with a composite of stock return news, which is obtained by a weighted average of the lagged domestic and US stock index returns. Moreover, we find that negative news will cause a larger decline in a national stock return than will an equal magnitude of good news. This also holds true for the conditional variance. The variance appears to be more volatile and persistent when bad news hits the market than when good news does. Consistent with existing literature, asymmetries in stock returns are not independent of asymmetries in volatility since a larger adjustment in stock prices to bad news is likely to cause domestic investors to change the debt-equity ratio, leading to higher volatility in stock market.
