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Journal of Statistical and Econometric Methods >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/58011
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| DC Field | | Value | | Language |
| dc.contributor.author | | Alfreedi, Ajab A. | | en_US |
| dc.contributor.author | | Isa, Zaidi | | en_US |
| dc.contributor.author | | Hassan, Abu | | en_US |
| dc.date.accessioned | | 2012-03-22 | | en_US |
| dc.date.accessioned | | 2012-05-22T16:45:42Z | | - |
| dc.date.available | | 2012-05-22T16:45:42Z | | - |
| dc.date.issued | | 2012 | | en_US |
| dc.identifier.citation | | Journal of Statistical and Econometric Methods 2241-0376 International Scientific Press 1 2012 1 111-131 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/58011 | | - |
| dc.description.abstract | | This study examines the regime shifts in volatility in the stock markets of Gulf Cooperation Council (GCC) countries by employing the iterated cumulative sum of squares generalized autoregressive conditional heteroscedasticity (ICSSGARCH) model. Using the weekly data over the period 2003-2010, the GARCH models are estimated accounting for the sudden shifts detected by ICSS algorithm. The unexpected changes in stock price volatility seem to arise from the important global, regional, and domestic political as well as economic events. The findings also suggest that the ignorance of structural changes in volatility seems to lead to overestimation of persistence parameters of GARCH models. This finding corroborates many earlier studies in this context. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | International Scientific Press | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | GCC | | en_US |
| dc.subject.keyword | | stock market volatility | | en_US |
| dc.subject.keyword | | ICSS-GARCH | | en_US |
| dc.subject.keyword | | heavy-tailed conditional density | | en_US |
| dc.title | | Does heavy-tailedness matter in regime shifts and persistence in volatility estimation? Evidence from six GCC economies | | en_US |
| dc.type | | Article | | en_US |
| dc.identifier.ppn | | 689055870 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | Journal of Statistical and Econometric Methods
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