Estimating volatility using GARCH models on the Romanian stock market

We investigate the stock market comovements in Australia, Brazil, Canada, China, Germany, Hong Kong, Japan, Russia, South Africa, the UK, and the USA, both at the market and sectoral level in 2000-2010. Using multivariate GARCH models, our results suggest that the correlation among equity returns during the financial crisis (2008-2010) somewhat increased, suggesting that the crisis represented a common shock to all countries. The U.S. stock market is found to be the most correlated with the stock markets in Brazil, Canada and UK. The correlation of U.S. and Chinese stock market is essentially zero before the crisis; it becomes slightly positive during the crisis. The sectoral indices are less correlated than the market indices over the whole period, but, again, the correlations increase during the crisis.

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Estimating stock market volatility using asymmetric GARCH models

Applied Financial Economics ◽

10.1080/09603100701604225 ◽

2008 ◽

Vol 18 (15) ◽

pp. 1201-1208 ◽

Cited By ~ 76

Author(s):

Dima Alberg ◽

Haim Shalit ◽

Rami Yosef

Keyword(s):

Stock Market ◽

Market Volatility ◽

Garch Models ◽

Stock Market Volatility ◽

Asymmetric Garch

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VOLATILITY IN STOCK RETURN SERIES OF VIETNAM STOCK MARKET

Science and Technology Development Journal ◽

10.32508/stdj.v14i3.1975 ◽

2011 ◽

Vol 14 (3) ◽

pp. 5-21

Author(s):

Vinh Xuan Vo ◽

Ngan Thi Kim Nguyen

Keyword(s):

Stock Market ◽

Stock Returns ◽

Stock Return ◽

Structural Breaks ◽

Garch Models ◽

Financial Policies ◽

Long Span ◽

Return Variance ◽

Daily Stock Returns ◽

Icss Algorithm

This paper studies the features of the stock return volatility using GARCH models and the presence of structural breaks in return variance of VNIndex in the Vietnam stock market by using the iterated cumulative sums of squares (ICSS) algorithm. Using a long-span data, GARCH and GARCH in mean (GARCH-M) models seems to be effective in describing daily stock returns’ features. About structural breaks, when applying ICSS to standardized residuals filtered from GARCH (1, 1) model, the number of volatility shifts significantly decreases in comparison with the raw return series. Events corresponding to those breaks and altering the volatility pattern of stock return are found to be country-specific. Not any shifts are found during global crisis period. Further evidence also reveals that when sudden shifts are taken into account in the GARCH models, volatility persistence remarkably reduces and that the conditional variance of stock return is much affected by past trend of observed shocks and variance. Our results have important implications regarding advising investors on decisions concerning pricing equity, portfolio investment and management, hedging and forecasting. Moreover, it is also helpful for policy-makers in making and promulgating the financial policies.

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