A study on the performance of symmetric and asymmetric GARCH models in estimating stock returns volatility

In this paper we aim to test the usefulness of two variants of Generalized Autoregressive Conditional Heteroscedasticity (GARCH) family-type models in estimating stock returns volatility for three Asian markets namely- Kuala Lumpur Composite Index (KLCI) of Malaysia, Straits Times Index (STI) of Sin...

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Main Author:	Islam, Mohd Aminul
Format:	Article
Language:	English
Published:	Research Academy of Social Sciences 2014
Subjects:	HG4001 Financial management. Business finance. Corporation finance.
Online Access:	http://irep.iium.edu.my/37649/ http://irep.iium.edu.my/37649/ http://irep.iium.edu.my/37649/1/IJEF_2014.pdf

id	iium-37649
recordtype	eprints
spelling	iium-376492015-04-28T06:46:05Z http://irep.iium.edu.my/37649/ A study on the performance of symmetric and asymmetric GARCH models in estimating stock returns volatility Islam, Mohd Aminul HG4001 Financial management. Business finance. Corporation finance. In this paper we aim to test the usefulness of two variants of Generalized Autoregressive Conditional Heteroscedasticity (GARCH) family-type models in estimating stock returns volatility for three Asian markets namely- Kuala Lumpur Composite Index (KLCI) of Malaysia, Straits Times Index (STI) of Singapore and the Bombay Stock Exchange Index (BSESN) of India. For this paper we have chosen the variants of the GARCH family models: the standard GARCH (1, 1) model represents as the symmetric model and the Threshold GARCH or TGARCH (1, 1) model represents as the asymmetric model. The study covers the period 02/01/2007 – 31/12/2013 comprising daily observations of 1724 for KLCI, 1743 for Singapore and 1725 for BSESN excluding the public holidays. Our results provide strong evidence that the daily stock returns can be characterized by these two models and they are better fit to capture the stylized facts about the index returns such as volatility clustering, leptokurtosis and the leverage effects. The results suggest that asymmetric GARCH performs relatively better for the case of Singapore while in the other two markets the standard GARCH performs better in explaining the data. Research Academy of Social Sciences 2014 Article PeerReviewed application/pdf en http://irep.iium.edu.my/37649/1/IJEF_2014.pdf Islam, Mohd Aminul (2014) A study on the performance of symmetric and asymmetric GARCH models in estimating stock returns volatility. International Journal of Empirical Finance, 2 (4). pp. 182-192. ISSN 2310-2926 http://www.rassweb.com
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English
topic	HG4001 Financial management. Business finance. Corporation finance.
spellingShingle	HG4001 Financial management. Business finance. Corporation finance. Islam, Mohd Aminul A study on the performance of symmetric and asymmetric GARCH models in estimating stock returns volatility
description	In this paper we aim to test the usefulness of two variants of Generalized Autoregressive Conditional Heteroscedasticity (GARCH) family-type models in estimating stock returns volatility for three Asian markets namely- Kuala Lumpur Composite Index (KLCI) of Malaysia, Straits Times Index (STI) of Singapore and the Bombay Stock Exchange Index (BSESN) of India. For this paper we have chosen the variants of the GARCH family models: the standard GARCH (1, 1) model represents as the symmetric model and the Threshold GARCH or TGARCH (1, 1) model represents as the asymmetric model. The study covers the period 02/01/2007 – 31/12/2013 comprising daily observations of 1724 for KLCI, 1743 for Singapore and 1725 for BSESN excluding the public holidays. Our results provide strong evidence that the daily stock returns can be characterized by these two models and they are better fit to capture the stylized facts about the index returns such as volatility clustering, leptokurtosis and the leverage effects. The results suggest that asymmetric GARCH performs relatively better for the case of Singapore while in the other two markets the standard GARCH performs better in explaining the data.
format	Article
author	Islam, Mohd Aminul
author_facet	Islam, Mohd Aminul
author_sort	Islam, Mohd Aminul
title	A study on the performance of symmetric and asymmetric GARCH models in estimating stock returns volatility
title_short	A study on the performance of symmetric and asymmetric GARCH models in estimating stock returns volatility
title_full	A study on the performance of symmetric and asymmetric GARCH models in estimating stock returns volatility
title_fullStr	A study on the performance of symmetric and asymmetric GARCH models in estimating stock returns volatility
title_full_unstemmed	A study on the performance of symmetric and asymmetric GARCH models in estimating stock returns volatility
title_sort	study on the performance of symmetric and asymmetric garch models in estimating stock returns volatility
publisher	Research Academy of Social Sciences
publishDate	2014
url	http://irep.iium.edu.my/37649/ http://irep.iium.edu.my/37649/ http://irep.iium.edu.my/37649/1/IJEF_2014.pdf
first_indexed	2023-09-18T20:53:59Z
last_indexed	2023-09-18T20:53:59Z
_version_	1777410181496307712

A study on the performance of symmetric and asymmetric GARCH models in estimating stock returns volatility

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