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Author : Olan Henry
Publisher :
ISBN 13 : 9780732512422
Total Pages : 23 pages
Book Rating : 4.5/5 (124 download)
Download or read book Modelling the Asymmetry of Stock Market Volatility written by Olan Henry and published by . This book was released on 1995 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hao Sun
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Volatility Asymmetry in Functional Threshold GARCH Model written by Hao Sun and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling volatility is one of the prime objectives of financial time-series analysis. A significant feature encountered in the modeling of financial data is the asymmetric response to the volatility process of unanticipated shocks. With improvements in data acquisition, functional versions of the heteroskedastic models have emerged to deal with the high-frequency observations. Although previous studies have developed some functional time-series methods, it remains a necessity to analyze the variations in the asymmetry of the discrete model and the function model. In this study, we propose a functional threshold GARCH (fTGARCH) model and extend the news impact curve (NIC) and the cumulative impact response function (CIRF) within the functional heteroskedastic framework. We find that the fTGARCH model can describe the asymmetry of the observation data, which are revealed by the sample cross-correlation functions. The slope of the NIC changes with time for functional GARCH class models, and the changes are asymmetrical for the fTGARCH model. Using the generalized CIRF, we can explore the persistent effects of volatility for the functional GARCH class models. By fitting the models to the S&P 500 stock market index, we conclude that the fTGARCH model has some flexibility and superiority in regard to volatility asymmetry.
Author : Geert Bekaert
Publisher :
ISBN 13 :
Total Pages : 76 pages
Book Rating : 4.3/5 ( download)
Download or read book Asymmetric Volatility and Risk in Equity Markets written by Geert Bekaert and published by . This book was released on 1997 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively correlated. We provide a unified framework to simultaneously investigate asymmetric volatility at the firm and the market level and to examine two potential explanations of the asymmetry: leverage effects and time-varying risk premiums. Our empirical application uses the market portfolio and portfolios with different leverage constructed from Nikkei 225 stocks, extending the empirical evidence on asymmetry to Japanese stocks. Although volatility asymmetry is present and significant at the market and the portfolio levels, its source differs across portfolios. We find that it is important to include leverage ratios in the volatility dynamics but that their economic effects are mostly dwarfed by the volatility feedback mechanism. Volatility feedback is enhanced by a phenomenon that we term covariance asymmetry: conditional covariances with the market increase only significantly following negative market news. We do not find significant asymmetries in conditional betas.
Author : Greg N. Gregoriou
Publisher : CRC Press
ISBN 13 : 1420099558
Total Pages : 654 pages
Book Rating : 4.4/5 (2 download)
Download or read book Stock Market Volatility written by Greg N. Gregoriou and published by CRC Press. This book was released on 2009-04-08 with total page 654 pages. Available in PDF, EPUB and Kindle. Book excerpt: Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
Author : John Y. Campbell
Publisher :
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.3/5 ( download)
Download or read book No News is Good News written by John Y. Campbell and published by . This book was released on 1991 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is sometimes argued that an increase in stock market volatility raises required stock returns, and thus lowers stock prices. This paper modifies the generalized autoregressive conditionally heteroskedastic (GARCH) model of returns to allow for this volatility feedback effect. The resulting model is asymmetric, because volatility feedback amplifies large negative stock returns and dampens large positive returns, making stock returns negatively skewed and increasing the potential for large crashes. The model also implies that volatility feedback is more important when volatility is high. In U.S. monthly and daily data in the period 1926-88, the asymmetric model fits the data better than the standard GARCH model, accounting for almost half the skewness and excess kurtosis of standard monthly GARCH residuals. Estimated volatility discounts on the stock market range from 1% in normal times to 13% after the stock market crash of October 1987 and 25% in the early 1930's. However volatility feedback has little effect on the unconditional variance of stock returns.
Author : Hojin Lee
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (13 download)
Download or read book Forecasting Performance of Asymmetric GARCH Stock Market Volatility Models written by Hojin Lee and published by . This book was released on 2017 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the asymmetry between positive and negative returns in their effect on conditional variance of the stock market index and incorporate the characteristics to form an out-of-sample volatility forecast. Contrary to prior evidence, however, the results in this paper suggest that no asymmetric GARCH model is superior to basic GARCH (1,1) model. It is our prior knowledge that, for equity returns, it is unlikely that positive and negative shocks have the same impact on the volatility. In order to reflect this intuition, we implement three diagnostic tests for volatility models: the Sign Bias Test, the Negative Size Bias Test, and the Positive Size Bias Test and the tests against the alternatives of QGARCH and GJR-GARCH. The asymmetry test results indicate that the sign and the size of the unexpected return shock do not influence current volatility differently which contradicts our presumption that there are asymmetric effects in the stock market volatility. This result is in line with various diagnostic tests which are designed to determine whether the GARCH (1,1) volatility estimates adequately represent the data. The diagnostic tests in section 2 indicate that the GARCH (1,1) model for weekly KOSPI returns is robust to the misspecification test. We also investigate two representative asymmetric GARCH models, QGARCH and GJR-GARCH model, for our out-of-sample forecasting performance. The out-of-sample forecasting ability test reveals that no single model is clearly outperforming. It is seen that the GJR-GARCH and QGARCH model give mixed results in forecasting ability on all four criteria across all forecast horizons considered. Also, the predictive accuracy test of Diebold and Mariano based on both absolute and squared prediction errors suggest that the forecasts from the linear and asymmetric GARCH models need not be significantly different from each other.
Author : Torben Gustav Andersen
Publisher : Springer Science & Business Media
ISBN 13 : 3540712976
Total Pages : 1045 pages
Book Rating : 4.5/5 (47 download)
Download or read book Handbook of Financial Time Series written by Torben Gustav Andersen and published by Springer Science & Business Media. This book was released on 2009-04-21 with total page 1045 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.
Author : Michel Crouhy
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
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.
Author : Jone Horpestad
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (13 download)
Download or read book Asymmetric Volatility in Equity Markets Around the World written by Jone Horpestad and published by . This book was released on 2018 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: The observation that price declines usually lead to volatility increases is known as the asymmetric volatility effect and has become a stylized fact about the financial markets. We study asymmetric volatility effect in 19 equity indices from North America, Latin America, Europe, Asia and Australia, utilizing not only daily data and four GARCH class models, but also realized volatility calculated from high-frequency data within HAR class models. We first confirm the stylized fact that stock market indices around the world exhibit the asymmetric volatility effect. This effect is stronger for US and European market indices. Second, we find that the asymmetric volatility effect is strong enough to significantly improve out-of-sample forecasts of an accurate HAR volatility model. Third, we show that forecast improvements of the asymmetric volatility models are largest during periods of higher market volatility, when accurate volatility forecasts matter the most.
Author : Plamen Patev
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (129 download)
Download or read book Modelling and Forecasting the Volatility of the Central European Stock Market written by Plamen Patev and published by . This book was released on 2004 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the nature of the Central European stock market volatility before, during and after major emerging market crises. We analyze the Central European Stock Index over the period April 30, 1996 - May 31, 2002. The data is divided into three sample periods - pre-crisis period, crisis period and post-crisis period. We find significant autocorrelation in return series. The autoregressive process is attributed to both nonsynchrounous trading and asymmetric response to good and bad news. We reported significant leverage effect in conditional variance and high volatility persistence in all considered period. Both asymmetry in conditional volatility and volatility persistence tend to increase in crises periods. We employ two symmetric and six asymmetric GARCH models for in-sample and out-of-sample forecasting. In addition, we apply Engle and Ng (1993) diagnostic tests for news impac. Results lead us to the conclusion that following a financial crisis, the negative return shocks have higher volatility than positive return shocks. We find that asymmetric GARCH model with non-normal distributed residuals capture most of Central European stock market volatility characteristics: (1) asymmetric news impact, (2) volatility persistence and (3) fat-tailed distribution of stock market returns. The asAR(1)-VGARCH (1,1)-t is most appropriate model in case of in-sample forecast while the asAR(1)-NAGARCH (1,1)-t model can be regareded as most appropriate.
Author : Jiang Wang
Publisher : Forgotten Books
ISBN 13 : 9780666223364
Total Pages : 76 pages
Book Rating : 4.2/5 (233 download)
Download or read book A Model of Intertemporal Asset Prices Under Asymmetric Information (Classic Reprint) written by Jiang Wang and published by Forgotten Books. This book was released on 2018-02-23 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: Excerpt from A Model of Intertemporal Asset Prices Under Asymmetric Information We explore the implications of our model for the behavior of stock prices, risk premia, price volatility, autocorrelation in stock returns and investors' trading strategies. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
Author : Fabio Fornari
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.3/5 ( download)
Download or read book Sign- and Volatility-switching ARCH Models written by Fabio Fornari and published by . This book was released on 1995 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Philip Rothman
Publisher : Springer Science & Business Media
ISBN 13 : 0792383796
Total Pages : 394 pages
Book Rating : 4.7/5 (923 download)
Download or read book Nonlinear Time Series Analysis of Economic and Financial Data written by Philip Rothman and published by Springer Science & Business Media. This book was released on 1999-01-31 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nonlinear Time Series Analysis of Economic and Financial Data provides an examination of the flourishing interest that has developed in this area over the past decade. The constant theme throughout this work is that standard linear time series tools leave unexamined and unexploited economically significant features in frequently used data sets. The book comprises original contributions written by specialists in the field, and offers a combination of both applied and methodological papers. It will be useful to both seasoned veterans of nonlinear time series analysis and those searching for an informative panoramic look at front-line developments in the area.
Author : Sartaj Hussain
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (13 download)
Download or read book A Theoretical Evaluation of the Models for Stock Market Volatility written by Sartaj Hussain and published by . This book was released on 2019 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volatility forecasting has been widely debated in empirical finance, nevertheless, studies examining issues in volatility and their resolution through various models has received a scant attention. Therefore, the present study which is purely a review work aims to elucidate volatility stylised facts along with discussion on theoretical foundation and procedure of volatility forecasting approaches. To serve this purpose, about sixty research papers were reviewed to extract meaningful insights on stock market volatility and its measurement methods. As a whole, it is observed that unconditional models that are intuitive and simple in estimation ignore most of well-known 'stylised facts' about volatility. GARCH family models though cater to most of volatility stylised facts, yet at the practioners' level, EWMA approach appears to be more reliable and worthwhile. Further, studies show that it is difficult to evaluate GARCH models as empirical results of such a model are dependent on the sampling frequency. Hence, choice among such models remains to be an empirical issue sensitive to length and frequency of data. Finally, GARCH family models expected to take care of main stylised facts like, volatility clustering, asymmetric effect, etc., yet models that have a capacity to handle properties like, non-normal behaviour of stock market volatility are beyond the purview of this study, thus represent a future gap for a literature review based research.
Author : Manabu Asai
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (721 download)
Download or read book Asymmetry and Long Memory in Volatility Modelling written by Manabu Asai and published by . This book was released on 2010 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Turgut Kisinbay
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (129 download)
Download or read book Predictive Ability of Asymmetric Volatility Models at Medium-Term Horizons written by Turgut Kisinbay and published by . This book was released on 2006 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using realized volatility to estimate conditional variance of financial returns, we compare forecasts of volatility from linear GARCH models with asymmetric ones. We consider horizons extending to 30 days. Forecasts are compared using three different evaluation tests. With data from an equity index and two foreign exchange returns, we show that asymmetric models provide statistically significant forecast improvements upon the GARCH model for two of the datasets and improve forecasts for all datasets by means of forecasts combinations. These results extend to about 10 days in the future, beyond which the forecasts are statistically inseparable from each other.
Author : Mark Watson
Publisher : Oxford University Press
ISBN 13 : 0199549494
Total Pages : 432 pages
Book Rating : 4.1/5 (995 download)
Download or read book Volatility and Time Series Econometrics written by Mark Watson and published by Oxford University Press. This book was released on 2010-02-11 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics
