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dc.contributor.authorAlfreedi, Ajab A.en
dc.contributor.authorIsa, Zaidien
dc.contributor.authorHassan, Abuen
dc.date.accessioned2012-03-22-
dc.date.accessioned2012-05-22T16:45:42Z-
dc.date.available2012-05-22T16:45:42Z-
dc.date.issued2012-
dc.identifier.citation|aJournal of Statistical and Econometric Methods|c2241-0376|v1|h1|nInternational Scientific Press|y2012|p111-131en
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
dc.language.isoengen
dc.publisher|aInternational Scientific Pressen
dc.subject.ddc330en
dc.subject.keywordGCCen
dc.subject.keywordstock market volatilityen
dc.subject.keywordICSS-GARCHen
dc.subject.keywordheavy-tailed conditional densityen
dc.titleDoes heavy-tailedness matter in regime shifts and persistence in volatility estimation? Evidence from six GCC economies-
dc.typeArticleen
dc.identifier.ppn689055870en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
econstor.citation.journaltitleJournal of Statistical and Econometric Methodsen
econstor.citation.issn2241-0376en
econstor.citation.volume1en
econstor.citation.issue1en
econstor.citation.publisherInternational Scientific Pressen
econstor.citation.year2012en
econstor.citation.startpage111en
econstor.citation.endpage131en

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