scholarly journals Comparison of VaR Models to the Brazilian Stock Market Under the Hypothesis of Serial Independence in Higher Orders: Are Garch Models Really Indispensable?

2019 ◽  
Vol 16 (6) ◽  
pp. 626-645
Author(s):  
Luiz Maluf ◽  
Jéssica Asano
Keyword(s):  
Stock Market ◽  
Garch Models ◽  
Var Models ◽  
Serial Independence

Estimating volatility using GARCH models on the Romanian stock market

2021 ◽  
Vol 1 (1) ◽  
pp. 1
Author(s):  
Eva Dezsi ◽  
Dragos Paun ◽  
Ioan Alin Nistor
Keyword(s):  
Stock Market ◽  
Garch Models

scholarly journals International Stock Market Comovements: What Happened during the Financial Crisis?

2012 ◽  
Vol 12 (1) ◽  
pp. 1850252 ◽  
Author(s):  
Roman Horvath ◽  
Petr Poldauf
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Equity Returns ◽  
Multivariate Garch ◽  
Garch Models ◽  
Chinese Stock Market ◽  
Common Shock ◽  
The Usa ◽  
Multivariate Garch Models ◽  
The Uk

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.

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
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