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The Asymetric Impact of News on Stock Market Volatility

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F03%3A00000032" target="_blank" >RIV/47813059:19520/03:00000032 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    The Asymetric Impact of News on Stock Market Volatility

  • Original language description

    In this paper, some aspects of non-linearity in financial time series as the basis of volatility changing models have been introduced. The empirical part of this paper focuses on testing for distribution normality of the daily returns time series in stock market indexes representing the USA, the UK, Germany, France, Italy and the Czech Republic, and testing for statistical significance of parameters of asymmetry in EGARCH and TARCH models. The results of tests for normality confirm the assumption that the hypothesis of normality can be strongly rejected by samples of the data. The estimated parameters of the EGARCH and the TARCH models reveal that volatility is an asymmetric function of

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    AH - Economics

  • OECD FORD branch

Result continuities

  • Project

    <a href="/en/project/GA402%2F02%2F1408" target="_blank" >GA402/02/1408: Comparing Financial Markets Development in the Czech Republic and EU-Countries</a><br>

  • Continuities

    P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Others

  • Publication year

    2003

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Article name in the collection

    Comparison of the Banking Sectors in Transition Economies. Future of the Banking after the Year 2000 in the World and in the Czech Republic (VIII)

  • ISBN

    80-7248-215-7

  • ISSN

  • e-ISSN

  • Number of pages

    17

  • Pages from-to

    111-127

  • Publisher name

    Obchodně podnikatelská fakulta v Karviné

  • Place of publication

    Karviná

  • Event location

  • Event date

  • Type of event by nationality

    EUR - Evropská akce

  • UT code for WoS article