Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study
نویسندگان
چکیده
منابع مشابه
Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study
Tse (1998) propose a model which combines the fractionally integrated GARCH formulation of Baillie, Bollerslev and Mikkelsen (1996) with the asymmetric power ARCH speci cation of Ding, Granger and Engle (1993). This paper analyzes the applicability of a multivariate constant conditional correlation version of the model to national stock market returns for eight countries. We nd this multivaria...
متن کاملVolatility in Malaysian Stock Market: An Empirical Study Using Fractionally Integrated Approach
This study explores the fractionally integrated (FI) time series analysis in Malaysian stock market. Four proxies of latent volatility, namely the absolute return, squared return and range-based (Parkinson and Garman and Klass) volatilities are selected for the empirical studies. In addition, the well-known FI autoregressive conditional variance (ARCH) type model is also taken into account for ...
متن کاملModeling long memory in stock market volatility
Inspired by the idea that regime switching may give rise to persistence that is observationally equivalent to a unit root, we derive a regime switching process that exhibits long memory. The feature of the process that generates long memory is a heavytailed duration distribution. Using this process for volatility, we obtain a regime switching stochastic volatility (RSSV) model that we "t to dai...
متن کاملUnderstanding Stock Market Volatility
One of the most prominent features of the U.S. stock market is the close connection between aggregate stock market volatility and the development of the business cycle. Figure 1 depicts the statistical relation between stock market volatility and the industrial production growth rate over the last sixty years, which shows that stock volatility is largely countercyclical, being larger in bad tim...
متن کاملEmpirical Study on Stock Return Volatility in China's Stock Market
Wave of financial globalization and financial innovation has brought great changes of the international financial market, the traditional measuring method is not well adapt to these new changes, this requires the presence of the new analysis method. This article will link function to copulas connect theory is introduced into the financial analysis. In this paper, the author makes an empirical a...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Empirical Finance
سال: 2011
ISSN: 0927-5398
DOI: 10.1016/j.jempfin.2010.05.001