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
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DOI - Digital Object Identifier
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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
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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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
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e-ISSN
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Number of pages
17
Pages from-to
111-127
Publisher name
Obchodně podnikatelská fakulta v Karviné
Place of publication
Karviná
Event location
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Event date
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Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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