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Modeling stock market return volatility in the presence of structural breaks

Caroline Michere Ndei, Stephen Muchina, Kennedy Waweru
2019 International Journal of Research In Business and Social Science  
This study sought to model the stock market return volatility at the Nairobi Securities Exchange (NSE) in the presence of structural breaks.  ...  The GARCH (1,1) and TGARCH(1,1) models were found to be the best fit models to test for symmetric and asymmetric effects respectively.  ...  They found evidence of structural breaks in the Canadian stock market and reported that volatility persistence was reduced when the structural breaks were incorporated in the GARCH model.  ... 
doi:10.20525/ijrbs.v8i5.308 fatcat:dha7ezcmbndolhij7lux4fahiq

Modeling Volatility of Asset and Volume of Trade Returns in the Nigerian Stock Market in the Presence of Random Level Shifts

David Adugh Kuhe, Moses Abanyam Chiawa, Sylvester Chigozie Nwaosu, Jonathan Atsua Ikughur
2019 Asian Journal of Probability and Statistics  
This study investigated the impact of volatility shock persistence on the conditional variance in the Nigerian stock returns using symmetric and asymmetric higher order GARCH family models in the presence  ...  trade returns in the Nigerian stock market with and without structural breaks.  ...  Also by including the structural breaks in these models, the stationarity and stability conditions of the models are satisfied as the sum of ARCH and GARCH terms are less than one in all the estimated  ... 
doi:10.9734/ajpas/2019/v3i230091 fatcat:2tmr45h7urghbh7emapafkis6e

Forecasting of the Nigeria Stock Returns Volatility Using GARCH Models with Structural Breaks

Yakubu Musa, Ibrahim Adamu, Nasiru Sani Dauran
2020 Asian Research Journal of Mathematics  
Volatility models of Symmetric GARCH (1,1), Asymmetric Power GARCH (1,1) and GJR-GARCH(1,1) models were considered in estimating and measuring shock persistence, leverage effects and mean reversion rate  ...  This study examines the stock returns series using Symmetric and Asymmetric GARCH models with structural breaks in the presence of some varying distribution assumptions.  ...  When included the structural breaks in these models, the stationarity and stability conditions of the models are satisfied as the sum of ARCH and GARCH terms were less than one in all the estimated models  ... 
doi:10.9734/arjom/2020/v16i230174 fatcat:girwxlmh4bhobbjdoakqrdz3vu

Impact Of Structural Shifts on Variance Persistence in Asymmetric Garch Models: Evidence From Emerging Asian and European Markets

Altaf Muhammad, Zhang Shuguang
2015 Revista Română de Statistică  
In this study we examined the effect of structural break points in conditional volatility on variance persistency of asymmetric GARCH models.  ...  We implied Exponential GARCH or EGARCH and Threshold GARCH or T-GARCH models with and without sudden structural breaks and tried to evaluate persistency in variance and leverage effect while estimating  ...  Acknowledgement This research is sponsored by Project No. 11471304 supported by "National Natural Science Foundation of China" and Chinese Scholarship Council, Ministry of Education, P. R. China.  ... 
doaj:984148b6351a4809835e53bcacf5dc37 fatcat:3gpkxiiuqvcfpcwpl3uli4pvle

Modelling persistence in conditional volatility of asset returns

Rajan Pandey, Arya Kumar
2017 Afro-Asian J of Finance and Accounting  
The utility of GARCH parameters lies in their ability in explaining the persistence of the conditional variance.  ...  The GARCH (1, 1) model is fitted on daily returns and a simple iterative scheme is used to re-estimate GARCH parameters on samples of different sizes and different time periods.  ...  Acknowledgements The authors would like to thank Prof. D.K. Malhotra (editor-in-chief, AAJFA) and two anonymous referees for their valuable comments which helped in improving the quality of the work.  ... 
doi:10.1504/aajfa.2017.082927 fatcat:m5nismm7lbf7boc2vb33ki3rym

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

Aluko Olufemi Adewale, Adeyeye Patrick Olufemi, Migiro Stephen Oseko
2017 Journal of Economics and Behavioral Studies  
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  ...  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.  ...  However, the sum of the ARCH and GARCH coefficients indicates that persistence of shocks to volatility is higher in the pre-break period.  ... 
doi:10.22610/jebs.v8i6(j).1489 fatcat:5yizwh4blnbqthg2epejel2mdq

How Are Structural Breaks Related to Stock Return Volatility Persistence? Evidence from China and Japan

Chikashi Tsuji
2018 Modern Economy  
This study empirically examines the effects of structural breaks on equity return volatility persistence by using Chinese and Japanese equity index return data.  ...  First, we reveal that for both Chinese and Japanese equity index returns, the values of GARCH parameters of standard GARCH models decline when the first structural break dummies are incorporated.  ...  Furthermore, the author also greatly appreciates the Japan Society for the Promo- tion of Science Grant-in-Aid for Scientific Research and the Chuo University Personal Research Grant for their continuing  ... 
doi:10.4236/me.2018.910102 fatcat:63yxemwbe5ernnqz4fzvyyjxpy

Structural Breaks and Volatility Persistence of Stock Returns: Evidence from the US and UK Equity Markets

Chikashi Tsuji
2018 Applied Economics and Finance  
This paper quantitatively investigates the effects of structural breaks on stock return volatility persistence by using the US and UK stock market index return data.  ...  returns, the volatility persistence parameter values of standard GARCH models decrease when structural breaks are taken into account. (2) Second, we further reveal that for both the US and UK stock market  ...  In addition, I also thank the Japan Society for the Promotion of Science Grant-in-Aid for Scientific Research and the Chuo University Personal Research Grant for their generous financial support to my  ... 
doi:10.11114/aef.v5i6.3690 fatcat:ilpyxtrvqfaq7kyjbkdwy4njf4

Pazarlama Çalışmalarına Sosyal Bilişsel Kuram Perspektifi: Bir Literatür Taraması

Enis Yakut
2019 Journal of Yasar University  
It was determined that the volatility of the Tourism Index is permanent in three periods and the volatility much higher after the crisis due to the global crisis.  ...  This paper examines the volatility of Borsa Istanbul Tourism Index by means of the two stage Markov-Switching Autoregressive Conditional Heteroskedasticity Model.  ...  Therefore, the number of parameters calculated decreases. ARCH and GARCH models are widely used in financial time series analysis. But these models disregard regime switching.  ... 
doi:10.19168/jyasar.631019 fatcat:ks6x4bljkrgkvdolwvokqgu6mm

Interdependence between GCC stock market and oil prices and portfolio management strategies under structural breaks
English

Harrathi Nizar, Almohaimeed Ahmed
2015 African Journal of Business Management  
Empirical results indicate that the inclusion of structural breaks in the model substantially reduces the volatility persistence and the estimated half-life of shocks.  ...  The univariate and multivariate GARCH models are extended by including structural breaks which are determined endogenously by using ICSS algorithm proposed by Inclan and Tiao.  ...  Mikosch and Starica (2004) and Hillebrand (2005) found that ignoring structural breaks in the GARCH model induces upward biases in estimates parameters of the volatility persistence.  ... 
doi:10.5897/ajbm2013.7226 fatcat:y65ych62y5cxzmp64srycsjmni

Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models

Mohamed El Hédi Arouri, Amine Lahiani, Aldo Lévy, Duc Khuong Nguyen
2012 Energy Economics  
This paper investigates whether structural breaks and long memory are relevant features in modeling and forecasting the conditional volatility of oil spot and futures prices using three GARCH-type models  ...  Second, long memory is effectively present in all the series considered and a FIGARCH model seems to better fit the data, but the degree of volatility persistence diminishes significantly after adjusting  ...  According to Mikosch and Stărică (2004), and Hillebrand (2004) , neglecting structural breaks in the GARCH parameters induces upward biases in estimates of the persistence of GARCH-type conditional volatility  ... 
doi:10.1016/j.eneco.2011.10.015 fatcat:ayzy67nqi5gfffpfq2jucuaawe

Investigating Daily Naira/Dollar Exchange Rate Volatility: A Modeling using GARCH and Asymmetric Models

Yakubu Musa, Bello Abubakar
2014 IOSR Journal of Mathematics  
The GJR-GARCH (1, 1) and TGARCH (1, 1) models show the existence of statistically significant asymmetry effect. The results from all the asymmetry models rejected the hypothesis of leverage effect.  ...  The TGARCH (1, 1) and TS-GARCH (1, 1) models are found to be the best models, they have all the parameters of the variance being significant and with lower information criteria.  ...  The ARCH effects are not due to structural breaks as there are ARCH effects across the sub groups.  ... 
doi:10.9790/5728-1022139148 fatcat:7n5her46i5adzpdgrvw74a5pai

A Time Series Analysis of Major Indexes Using GARCH Model with Regime Shifts

S. Aun Hassan
2017 International Journal of Financial Research  
Researchers and investors have also been curious to study the effect of unanticipated shocks on persistence of volatility over time.  ...  There has always been a great interest in learning about changes in the volatility patterns of stocks and other time series due to exogenous shocks.  ...  Estimation Methodology Standard GARCH (1,1) Model The paper attempts to measure persistence of shocks to volatility before and after introducing structural breaks to the model.  ... 
doi:10.5430/ijfr.v8n4p127 fatcat:d4nalvebnzagnbdxq563x2fkv4

Modeling the volatility of real GDP growth: The case of Japan revisited

WenShwo Fang, Stephen M. Miller
2009 Japan and The World Economy  
Fourth, the ARCH in mean model finds no effects of our more correct measure of output volatility on output growth or of output growth on its volatility.  ...  Second, using the outlier-corrected data, the integrated GARCH effect or high volatility persistence remains in the specification once we introduce intercept-shift dummies into the mean equation.  ...  Structural Changes and GARCH Estimates To consider the effect of the Great Moderation on the volatility persistence of output growth in GARCH specifications, we include a dummy variable in the conditional  ... 
doi:10.1016/j.japwor.2008.10.002 fatcat:2r7iucbmx5cyxdawl2une7bs44

How Volatile is ENSO

Lan-Fen Chu, Michael McAleer, Chi-Chung Chen
2009 Social Science Research Network  
The empirical results show that both the ARMA(1,1)-GARCH(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility.  ...  The main purpose of this paper is to analyze these two indexes in order to capture ENSO volatility.  ...  In (2), the  (or ARCH) effect indicates the short run persistence of shocks, while the  (or GARCH) effect indicates the contribution of shocks to long run persistence (namely,    ).  ... 
doi:10.2139/ssrn.1442229 fatcat:t25kxeio45h6fcosqcc3k36ieq
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