Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/58011
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dc.contributor.authorAlfreedi, Ajab A.en_US
dc.contributor.authorIsa, Zaidien_US
dc.contributor.authorHassan, Abuen_US
dc.date.accessioned2012-03-22en_US
dc.date.accessioned2012-05-22T16:45:42Z-
dc.date.available2012-05-22T16:45:42Z-
dc.date.issued2012en_US
dc.identifier.citation|aJournal of Statistical and Econometric Methods |c2241-0376 |nInternational Scientific Press |v1 |y2012 |h1 |p111-131en_US
dc.identifier.urihttp://hdl.handle.net/10419/58011-
dc.description.abstractThis 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.isoengen_US
dc.publisher|aInternational Scientific Pressen_US
dc.subject.ddc330en_US
dc.subject.keywordGCCen_US
dc.subject.keywordstock market volatilityen_US
dc.subject.keywordICSS-GARCHen_US
dc.subject.keywordheavy-tailed conditional densityen_US
dc.titleDoes heavy-tailedness matter in regime shifts and persistence in volatility estimation? Evidence from six GCC economiesen_US
dc.typeArticleen_US
dc.identifier.ppn689055870en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US

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