Impact of Sudden Changes on Volatility Persistence and Asymmetry in Chinese Stock Markets

• 발행기관: 한국자료분석학회
• 저자명: Seong-Min Yoon Sang Hoon Kang
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.14 No.6, 2877~2887쪽, 전체 11쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2012.12.30

영문 초록

This study has investigated sudden changes of volatility and examined the volatility asymmetry and persistence for the Shanghai and Shenzhen stock market indices. In an effort to assess the impact of sudden changes in volatility asymmetry and persistence, we identify the time points at which sudden changes in volatility occurred, and then incorporate this information into the GARCH and GJR-GARCH models. Using the ICSS algorithm, the identification of sudden changes is largely associated with domestic and global events. When these sudden changes are incorporated into GARCH and GJR-GARCH models, the evidences of asymmetry and persistence has been vanished in the volatility of both markets. Thus, we conclude that sudden changes models in this study are superior to standard GARCH and GJR-GARCH models in calculating and forecasting volatility of Chinese stock markets.

목차

1. Introduction

2. Methodology

3. Data and descriptive statistics

4. Empirical results

5. Conclusions

References

키워드

Volatility Sudden changes ICSS algorithm Asymmetry Persistence