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Volatility Clustering In Aggregate Stock Market Returns
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Book Synopsis Volatility Clustering in Aggregate Stock Market Returns by : Shahid Ahmed
Download or read book Volatility Clustering in Aggregate Stock Market Returns written by Shahid Ahmed and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Volatility Clustering in Financial Markets by : Thomas Lux
Download or read book Volatility Clustering in Financial Markets written by Thomas Lux and published by . This book was released on 1998 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Volatility Clustering, Asymmetry and Hysteresis in Stock Returns by : Michel Crouhy
Download or read book Volatility Clustering, Asymmetry and Hysteresis in Stock Returns written by Michel Crouhy and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Volatility Clustering and Mean Reversion of Stock Returns in an Asset Pricing Model with Incomplete Learning by : Allan Timmermann
Download or read book Volatility Clustering and Mean Reversion of Stock Returns in an Asset Pricing Model with Incomplete Learning written by Allan Timmermann and published by . This book was released on 1995 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Analysis of Changes in Aggregate Stock Market Volatility by : Frank K. Reilly
Download or read book An Analysis of Changes in Aggregate Stock Market Volatility written by Frank K. Reilly and published by . This book was released on 1979 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt: General price studies on the level of volatility for aggregate stock market have derived conflicting results. Using daily stock price changes for the period 1926-1975, the paper examines the characteristics of the distribution of daily stock price changes. Subsequently we examined changes in several measures of stock price volatility. The results indicated significant changes over time and especially in 1973-1975.
Book Synopsis Volatility Clustering in Monthly Stock Returns by : Ben Jacobsen
Download or read book Volatility Clustering in Monthly Stock Returns written by Ben Jacobsen and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate volatility clustering using a modeling approach based on the temporal aggregation results for generalized autoregressive conditional heteroscedasticity (GARCH) models in Drost and Nijman [Econometrica, 1993]. Our findings highlight that volatility clustering, contrary to widespread belief, is not only present in high-frequency financial data. Monthly data also exhibit significant serial dependence in the second moments. We show that the use of temporal aggregation to estimate low-frequency models reduces parameter uncertainty substantially.
Book Synopsis Long Memory in Economics by : Gilles Teyssière
Download or read book Long Memory in Economics written by Gilles Teyssière and published by Springer Science & Business Media. This book was released on 2006-09-22 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: Assembles three different strands of long memory analysis: statistical literature on the properties of, and tests for, LRD processes; mathematical literature on the stochastic processes involved; and models from economic theory providing plausible micro foundations for the occurrence of long memory in economics.
Book Synopsis Macroeconomic News, Stock Turnover, and Volatility Clustering in Daily Stock Returns by : Robert A. Connolly
Download or read book Macroeconomic News, Stock Turnover, and Volatility Clustering in Daily Stock Returns written by Robert A. Connolly and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We study volatility clustering in daily stock returns at both the index and firm level over 1985 to 2000. We find that the relation between today's index return shock and next period's volatility decreases when important macroeconomic news is released today and increases with the shock in today's stock market turnover. Collectively, our results suggest that volatility clustering tends to be stronger when there is more uncertainty and disperse beliefs about the market's information signal. Our findings also contribute to a better understanding of the joint dynamics of stock returns and trading volume.
Book Synopsis Volatility Clustering in Stock Returns at Low Frequencies by : Ben Jacobsen
Download or read book Volatility Clustering in Stock Returns at Low Frequencies written by Ben Jacobsen and published by . This book was released on 1995 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Volatility Clustering in Financial Markets by : Thomas Lux
Download or read book Volatility Clustering in Financial Markets written by Thomas Lux and published by . This book was released on 1998 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Assymetric Volatility Clustering, Risk-return Relationaship and Day of the Week Effectsd by :
Download or read book Assymetric Volatility Clustering, Risk-return Relationaship and Day of the Week Effectsd written by and published by . This book was released on 1999 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Is Volatility Clustering of Asset Returns Asymmetric? by : Cathy Ning
Download or read book Is Volatility Clustering of Asset Returns Asymmetric? written by Cathy Ning and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Firm-Level Return Dispersion and the Future Volatility of Aggregate Stock Market Returns by : Chris T. Stivers
Download or read book Firm-Level Return Dispersion and the Future Volatility of Aggregate Stock Market Returns written by Chris T. Stivers and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We find a sizable positive relation between firm return dispersion and future market-level volatility in U.S. monthly equity returns from 1927 to 1995. This intertemporal relation remains strong when controlling for economic conditions and for return shocks in the aggregate stock market, widely-used factor-mimicking portfolios, and government bonds. In contrast, the well-known positive relation between market-return shocks and future market-level volatility largely disappears when controlling for firm return dispersion. We also document how firm return dispersion moves with the contemporaneous market return and with economic conditions. Collectively, our evidence suggests that the time variation in firm return dispersion has important market-wide implications.
Book Synopsis An Introduction to Wavelets and Other Filtering Methods in Finance and Economics by : Ramazan Gençay
Download or read book An Introduction to Wavelets and Other Filtering Methods in Finance and Economics written by Ramazan Gençay and published by Elsevier. This book was released on 2001-10-12 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Introduction to Wavelets and Other Filtering Methods in Finance and Economics presents a unified view of filtering techniques with a special focus on wavelet analysis in finance and economics. It emphasizes the methods and explanations of the theory that underlies them. It also concentrates on exactly what wavelet analysis (and filtering methods in general) can reveal about a time series. It offers testing issues which can be performed with wavelets in conjunction with the multi-resolution analysis. The descriptive focus of the book avoids proofs and provides easy access to a wide spectrum of parametric and nonparametric filtering methods. Examples and empirical applications will show readers the capabilities, advantages, and disadvantages of each method. The first book to present a unified view of filtering techniques Concentrates on exactly what wavelets analysis and filtering methods in general can reveal about a time series Provides easy access to a wide spectrum of parametric and non-parametric filtering methods
Book Synopsis Asset Price Dynamics, Volatility, and Prediction by : Stephen J. Taylor
Download or read book Asset Price Dynamics, Volatility, and Prediction written by Stephen J. Taylor and published by Princeton University Press. This book was released on 2011-02-11 with total page 544 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility, and their probability distributions. Stephen Taylor provides a comprehensive introduction to the dynamic behavior of asset prices, relying on finance theory and statistical evidence. He uses stochastic processes to define mathematical models for price dynamics, but with less mathematics than in alternative texts. The key topics covered include random walk tests, trading rules, ARCH models, stochastic volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions. Asset Price Dynamics, Volatility, and Prediction is ideal for students of economics, finance, and mathematics who are studying financial econometrics, and will enable researchers to identify and apply appropriate models and methods. It will likewise be a valuable resource for quantitative analysts, fund managers, risk managers, and investors who seek realistic expectations about future asset prices and the risks to which they are exposed.
Book Synopsis Efficiency and Volatility Dynamics of Bangladesh's Stock Market by : Md Abu Hasan
Download or read book Efficiency and Volatility Dynamics of Bangladesh's Stock Market written by Md Abu Hasan and published by Cambridge Scholars Publishing. This book was released on 2024-02-06 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contributes to empirical finance by comprehensively analysing an emerging stock market, employing modern econometric techniques. The most central and fascinating area of financial economics is probably the efficiency and volatility of the stock market – however, studies of emerging economies are relatively limited in this area. The rising importance of stock market globalisation has increased interest in emerging markets. This book leads the way for an emerging market perspective, as it explores the issue of efficiency and volatility of the stock market in Bangladesh by employing both univariate and multivariate models, using daily data of past share prices and monthly data of macroeconomic variables and the stock index, respectively. This book offers an understanding of the crucial issues facing developing economies, particularly emerging stock markets with similar characteristics to those of Bangladesh. This book undoubtedly provides valuable information for investors in the stock market, graduate, post-graduate, and PhD students in quantitative financial economics, academics in economics and finance, and policymakers in developing economies.
Book Synopsis Proceedings of the 7th International Conference on Economic Management and Green Development by : Xiaolong Li
Download or read book Proceedings of the 7th International Conference on Economic Management and Green Development written by Xiaolong Li and published by Springer Nature. This book was released on with total page 2095 pages. Available in PDF, EPUB and Kindle. Book excerpt:
