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Title:Asymmetry in volatility: A comparison of developed and transition stock markets PDF Logo
Authors:Wdowiński, Piotr
Malecka, Marta
Issue Date:2010
Series/Report no.:CESifo working paper Monetary Policy and International Finance 2974
Abstract:ARCH modelling framework of Engle (1982) and its GARCH generalization of Bollerslev (1986) gave a huge impetus to econometric model building in the field of financial time series with time-varying variance. The main idea of the models was to describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns go off the long run trajectory is different in case of positive and negative market news. Thus it is indispensable to employ asymmetric models being a modification of a traditional GARCH. In the paper we used an approach of Engle and Ng (1993) to test for asymmetric effects in stock indices of developed and Central European stock markets.
Subjects:asymmetry
volatility
stock market
transition
JEL:C10
G15
Document Type:Working Paper
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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