Asymmetric Conditional Volatility Modeling: Evidence from Central European Stock Markets

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F11%3A86080781" target="_blank" >RIV/61989100:27510/11:86080781 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Asymmetric Conditional Volatility Modeling: Evidence from Central European Stock Markets
Original language description
This paper investigates the asymmetric response of equity volatility to return shocks. The effects of good and bad news on volatility in the Czech and Polish stock markets using asymmetric ARCH models before and during the global financial crisis of 2008-09 are examined. Moreover we generalize the news impact function to study asymmetric volatility under the ARCH-type models. The PX and WIG20 stock indexes were used as a proxy to the Czech and Polish stock markets to study the asymmetric volatility over7 year?s period. Commonly used asymmetric volatility models i.e. EGARCH and TGARCH models were applied. The PX and WIG20 returns series found to react to the good and bad news asymmetrically. The presence of the leverage effect would imply that the negative news has a greater impact on volatility than a positive innovation. We found that GARCHclass models with normal errors are not capable to capture fully the leptokurtosis in empirical time series, while GED and Student?s t errors prov
Czech name
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Czech description
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Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Finanční řízení podniků a finančních institucí. Sborník příspěvků z 8. mezinárodní vědecké konference
ISBN
978-80-248-2494-9
ISSN
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e-ISSN
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Number of pages
9
Pages from-to
375-383
Publisher name
VŠB - TU Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 6, 2011
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000317550100045

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