GENERALIZED ASYMMETRIC POWER ARCH MODELING OF NATIONAL STOCK MARKET RETURNS

Mert Ural

EN TR

GENERALIZED ASYMMETRIC POWER ARCH MODELING OF NATIONAL STOCK MARKET RETURNS

Abstract

Empirical studies have shown that a large number of financial asset returns exhibit fat tails (leptokurtosis) and are often characterized by volatility clustering and asymmetry. This paper considers the ability of the Generalized Asymmetric Power ARCH (APGARCH) model introduced by Ding, Granger and Engle (1993) to capture the stylized features of volatility in national stock market returns for eight countries (Nasdaq100, DAX, Nikkei225, Strait Times, MerVal, IPC, Shanghai Composite ve ISE100). The results of this paper suggest that in the presence of asymmetric responses to innovations in the market, the APGARCH(1,1) Skewed Student-t model which accommodates both the skewness and the kurtosis of financial time series is preferred.

Keywords

APGARCH, skewed Student-t distribution, stock market returns

Details

Primary Language

Turkish

Subjects

-

Journal Section

-

Authors

Mert Ural This is me

Publication Date

December 1, 2009

Submission Date

December 1, 2009

Acceptance Date

-

Published in Issue

Year 2009 Volume: 9 Number: 18

IZ

https://izlik.org/JA64WZ44LF

Cite

RIS / Bibtex

APA

Ural, M. (2009). GENERALIZED ASYMMETRIC POWER ARCH MODELING OF NATIONAL STOCK MARKET RETURNS. Sosyal Ekonomik Araştırmalar Dergisi, 9(18), 575-590. https://izlik.org/JA64WZ44LF

AMA

1.Ural M. GENERALIZED ASYMMETRIC POWER ARCH MODELING OF NATIONAL STOCK MARKET RETURNS. SUSEAD. 2009;9(18):575-590. https://izlik.org/JA64WZ44LF

Chicago

Ural, Mert. 2009. “GENERALIZED ASYMMETRIC POWER ARCH MODELING OF NATIONAL STOCK MARKET RETURNS”. Sosyal Ekonomik Araştırmalar Dergisi 9 (18): 575-90. https://izlik.org/JA64WZ44LF.

EndNote

Ural M (December 1, 2009) GENERALIZED ASYMMETRIC POWER ARCH MODELING OF NATIONAL STOCK MARKET RETURNS. Sosyal Ekonomik Araştırmalar Dergisi 9 18 575–590.

IEEE

[1]M. Ural, “GENERALIZED ASYMMETRIC POWER ARCH MODELING OF NATIONAL STOCK MARKET RETURNS”, SUSEAD, vol. 9, no. 18, pp. 575–590, Dec. 2009, [Online]. Available: https://izlik.org/JA64WZ44LF

ISNAD

Ural, Mert. “GENERALIZED ASYMMETRIC POWER ARCH MODELING OF NATIONAL STOCK MARKET RETURNS”. Sosyal Ekonomik Araştırmalar Dergisi 9/18 (December 1, 2009): 575-590. https://izlik.org/JA64WZ44LF.

JAMA

1.Ural M. GENERALIZED ASYMMETRIC POWER ARCH MODELING OF NATIONAL STOCK MARKET RETURNS. SUSEAD. 2009;9:575–590.

MLA

Ural, Mert. “GENERALIZED ASYMMETRIC POWER ARCH MODELING OF NATIONAL STOCK MARKET RETURNS”. Sosyal Ekonomik Araştırmalar Dergisi, vol. 9, no. 18, Dec. 2009, pp. 575-90, https://izlik.org/JA64WZ44LF.

Vancouver

1.Mert Ural. GENERALIZED ASYMMETRIC POWER ARCH MODELING OF NATIONAL STOCK MARKET RETURNS. SUSEAD [Internet]. 2009 Dec. 1;9(18):575-90. Available from: https://izlik.org/JA64WZ44LF