Výrost, Tomáš and Baumöhl, Eduard (2009): Asymmetric GARCH and the financial crisis: a preliminary study.
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Abstract
The paper deals with estimation of both general GARCH as well as asymmetric EGARCH and TGARCH models, used to model the leverage effect of good news and bad news on market volatility. We estimate the models using daily returns of S&P 500 stock index and describe the news impact curves (NICs) for these models. When estimating the crisis series, we show the possibility of using a news impact surface to describe the results from models of higher orders.
| Item Type: | MPRA Paper |
|---|---|
| Original Title: | Asymmetric GARCH and the financial crisis: a preliminary study |
| Language: | English |
| Keywords: | volatility modeling, financial crisis, asymmetric GARCH class models, news impact curve |
| Subjects: | C - Mathematical and Quantitative Methods > C5 - Econometric Modeling G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes G - Financial Economics > G0 - General > G01 - Financial Crises |
| Item ID: | 27939 |
| Depositing User: | Eduard Baumöhl |
| Date Deposited: | 08 Jan 2011 20:10 |
| Last Modified: | 26 Sep 2019 12:23 |
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| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/27939 |
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