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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.accessioned2012-05-22T16:45:43Z-
dc.date.available2012-05-22T16:45:43Z-
dc.date.issued2012-
dc.identifier.citation|aJournal of Statistical and Econometric Methods|c2241-0376|v1|h1|nInternational Scientific Press|y2012|p43-76en
dc.identifier.urihttp://hdl.handle.net/10419/58012-
dc.description.abstractIn this study, we have investigated GCC stock market volatilities exploiting a number of asymmetric models (EGARCH, ICSS-EGARCH, GJR-GARCH, and ICSS-GJR-GARCH).This paper uses the weekly data over the period 2003-2010. The ICSS-EGARCH and ICSS-GJR-GARCH models take into account the discrete regime shifts in stochastic errors. The finding supports the widely accepted view that accounting for the regime shifts detected by the iterated cumulative sums of squares (ICSS) algorithm in the variance equations overcomes the overestimation of volatility persistence. In addition, we have discovered that the sudden changes are generally associated with global, regional, and domestic economic as well as political events. Importantly, the asymmetric model estimations use normal as well as heavy-tailed conditional densities.en
dc.language.isoengen
dc.publisher|aInternational Scientific Pressen
dc.subject.ddc330en
dc.subject.keywordasymmetric modelsen
dc.subject.keywordICSSen
dc.subject.keywordEGARCHen
dc.subject.keywordGJR-GARCHen
dc.subject.keywordheavy-tailed process : GCC stock marketen
dc.titleRegime shifts in asymmetric GARCH models assuming heavy-tailed distribution: Evidence from GCC stock markets-
dc.typeArticleen
dc.identifier.ppn689054440en
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.startpage43en
econstor.citation.endpage76en

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