Asymmetric Conditional Volatility Modeling: Evidence from Central European Stock Markets

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Asymmetric Conditional Volatility Modeling: Evidence from Central European Stock Markets

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

Asymmetric Conditional Volatility Modeling: Evidence from Central European Stock Markets

Popis výsledku anglicky

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

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2011

Kód důvěrnosti údajů

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

Název statě ve sborníku

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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Počet stran výsledku

9

Strana od-do

375-383

Název nakladatele

VŠB - TU Ostrava

Místo vydání

Ostrava

Místo konání akce

Ostrava

Datum konání akce

6. 9. 2011

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000317550100045