Pemodelan Volatilitas Return Saham: Studi Kasus Pasar Saham Asia

Modelling Volatility of Return Stock Index: Evidence from Asian CountriesVolatility is one of the interesting phenomenon in financial market; the reason is because of its eect to the existence of global financial market. The existence of volatility closely related to the risk in stock model. This research aims to determine the right model in modeling stock return volatility taken from four Asian countries with symmetric and various asymmetric model of GARCH. The result from fitting the right model for all of four stock markets showed that asymmetric model of GARCH showing a better estimation in portraying stock return volatility. Moreover, the model can reveal the existence of asymmetric eects on those four stock markets.Keywords: GARCH Asymmetric; Stock Market; Modelling; GARCH Symmetry; Volatility AbstrakVolatilitas pada pasar keuangan merupakan salah satu fenomena yang sangat menarik karena dampaknya terhadap eksistensi pasar finansial global. Keberadaan volatilitas berhubungan dengan risiko sebuah. Tulisan ini bertujuan menentukan model terbaik dalam memodelkan volatilitas return saham pada empat negara di Asia dengan menggunakan model simetris GARCH dan berbagai macam model asimetris GARCH. Hasil dari fitting model terbaik untuk keempat pasar saham menunjukkan bahwa model asimetris GARCH menunjukkan estimasi yang lebih baik dalam menggambarkan volatilitas return saham. Lebih jauh lagi, model tersebut mengungkapkan keberadaan efek asimetris pada keempat pasar saham.

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Noisy information and stock market returns

Studies in Economics and Finance ◽

10.1108/sef-04-2015-0101 ◽

2016 ◽

Vol 33 (3) ◽

pp. 338-358 ◽

Cited By ~ 1

Author(s):

Gang Li

Keyword(s):

Growth Rate ◽

Financial Market ◽

Stock Return ◽

Equity Premium ◽

Average Risk ◽

Return Volatility ◽

Content Type ◽

Stock Return Volatility ◽

Noisy Information ◽

The Us

Purpose This paper aims to study whether noisy public information that investors receive about the expected aggregate dividend growth rate can help better understand the large average equity premium and stock return volatility in the US financial market. Design/methodology/approach This paper considers a dynamic asset pricing model with a representative agent, who cannot observe the expected growth rate of dividends and must learn its value by using noisy information. In addition, this paper presents a simple model for noisy information calibration. Findings With a coefficient of relative risk aversion below 10 and the time impatience parameter between 0 and 1, the calibrated model is able to yield an average risk-free interest rate, equity premium and stock return volatility that are close to the stylized facts in the US financial market. Originality/value First, this paper presents a different equilibrium model with a simple “catching up with the Joneses” preference and noisy information. Second, this paper develops a simple calibration procedure to calibrate the information process to study whether the calibrated model can help explain the large average equity premium and stock return volatility in the US financial market data.

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