Forecasting Performance of Asymmetric GARCH Stock Market Volatility Models

2009 ◽  
Author(s):  
Ho-Jin Lee
Keyword(s):  
Stock Market ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Volatility Models ◽  
Forecasting Performance ◽  
Asymmetric Garch

scholarly journals Estimating stock market volatility using asymmetric GARCH models

2008 ◽  
Vol 18 (15) ◽  
pp. 1201-1208 ◽  
Author(s):  
Dima Alberg ◽  
Haim Shalit ◽  
Rami Yosef
Keyword(s):  
Stock Market ◽  
Market Volatility ◽  
Garch Models ◽  
Stock Market Volatility ◽  
Asymmetric Garch

Forecasting Stock Market Volatility: Evidence from Six Emerging Markets

2013 ◽  
Vol 14 (2) ◽  
pp. 68-93
Author(s):  
Naliniprava Tripathy ◽  
Ashish Garg
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
Stock Price ◽  
Market Volatility ◽  
Future Market ◽  
Investment Strategies ◽  
Stock Market Volatility ◽  
Efficient Management ◽  
Asymmetric Garch

This paper forecasts the stock market volatility of six emerging countries by using daily observations of indices over the period of January 1999 to May 2010 by using ARCH, GARCH, GARCH-M, EGARCH and TGARCH models. The study reveals the positive relationship between stock return and risk only in Brazilian stock market. The analysis exhibits that the volatility shocks are quite persistent in all country’s stock market. Further the asymmetric GARCH models find a significant evidence of asymmetry in stock returns in all six country’s stock markets. This study confirms the presence of leverage effect in the returns series and indicates that bad news generate more impact on the volatility of the stock price in the market. The study concludes that volatility increases disproportionately with negative shocks in stock returns. Hence investors are advised to use investment strategies by analyzing recent and historical news and forecast the future market movement while selecting portfolio for efficient management of financial risks to reap benefits in the stock markets.

scholarly journals COUNTRY RATING AND STOCK MARKET VOLATILITY: AN EMPIRICAL ESTIMATION FOR KARACHI STOCK EXCHANGE

2014 ◽  
Vol 02 (01) ◽  
pp. 07-14
Author(s):  
Muhammad Bilal Saeed ◽  
◽  
Arshad Hassan ◽  
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Empirical Estimation ◽  
Market Returns ◽  
Stock Market Returns ◽  
Daily Data ◽  
Asymmetric Garch ◽  
The Relationship

This study is aimed to explore the relationship between country rating and volatility of Karachi Stock Exchange for the period 1999 to 2012. This study employs daily data of country ratings and stock market returns to investigate influence of rating on volatility of market. Univariate Asymmetric GARCH model is used to explore the relationship and results reveal that country rating has a significant role in explaining volatility in Karachi Stock Exchange.

scholarly journals Modelling Volatility Persistence and Asymmetry with Structural Break: Evidence from the Nigerian Stock Market

2017 ◽  
Vol 8 (6(J)) ◽  
pp. 153-160
Author(s):  
Aluko Olufemi Adewale ◽  
Adeyeye Patrick Olufemi ◽  
Migiro Stephen Oseko
Keyword(s):  
Stock Market ◽  
Structural Break ◽  
Garch Model ◽  
Market Volatility ◽  
Leverage Effect ◽  
Stock Market Volatility ◽  
Sample Period ◽  
Asymmetric Garch ◽  
High Degree ◽  
Break Period

Abstract: This study contributes to existing literature on the Nigerian stock market by modelling the persistence and asymmetry of stock market volatility taking into account structural break. It utilises returns generated from data on monthly all-share index from January 1985 to December 2014. After identifying structural break in the return series, the study splits the sample period into pre-break period (January 1985 – November 2008) and post-break period (January 2009 – December 2014). Using the symmetric GARCH model, the study shows that the sum of ARCH and GARCH coefficients is higher in the pre-break period compared to the post-break period, thus indicating that persistence of shock to volatility is higher before structural break in the market. The asymmetric GARCH model provides no evidence of asymmetry as well as leverage effect with or without accounting for structural break in the Nigerian stock market. This study concludes that the Nigerian stock market is characterised by inefficiency, high degree of uncertainty and non-asymmetric volatility.Keywords: Persistence, asymmetry, stock market volatility, structural break

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