The asymmetry effect on volatility during the global financial crisis
Autor(a) principal: | |
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Data de Publicação: | 2019 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10071/19550 |
Resumo: | The main objective of this dissertation is to investigate the asymmetric effects of shocks on volatility during the Global Financial Crisis of 2007 – 2009. Using daily logarithmic returns, we estimate univariate EGARCH and GJR models assuming three different conditional distributions: the Gaussian normal, Student’s t and Generalized Error Distribution. The stock indices under analysis, which include largest companies in the world, are S&P 500, NASDAQ, FTSE 100, DAX, CAC 40, NIKKEI 225 and HSI. The data ranges from September 15, 2006 to September 15, 2010, being split in two subsamples by the collapse of Lehman Brothers on September 15, 2008. Our results suggest that asymmetric effects are present in all stock markets analysed. In most cases, the impact becomes weaker after the Lehman Brothers bankruptcy, indicating that the negative shocks did not raise volatility as much as they did before the bankruptcy. EGARCH model with fatter tailed distributions appears to be the best in-sample predictive model. Moreover, we test the statistical significance of the change between asymmetry coefficient estimates of the EGARCH model, and conclude that the majority are not statistically significant, suggesting that the asymmetry coefficients do not depend on the sample period. |
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The asymmetry effect on volatility during the global financial crisisVolatilityAsymmetry effectsGlobal financial crisisStock market indicesVolatilidadeEfeito assimétricoCrise financeiraÍndices de açõesThe main objective of this dissertation is to investigate the asymmetric effects of shocks on volatility during the Global Financial Crisis of 2007 – 2009. Using daily logarithmic returns, we estimate univariate EGARCH and GJR models assuming three different conditional distributions: the Gaussian normal, Student’s t and Generalized Error Distribution. The stock indices under analysis, which include largest companies in the world, are S&P 500, NASDAQ, FTSE 100, DAX, CAC 40, NIKKEI 225 and HSI. The data ranges from September 15, 2006 to September 15, 2010, being split in two subsamples by the collapse of Lehman Brothers on September 15, 2008. Our results suggest that asymmetric effects are present in all stock markets analysed. In most cases, the impact becomes weaker after the Lehman Brothers bankruptcy, indicating that the negative shocks did not raise volatility as much as they did before the bankruptcy. EGARCH model with fatter tailed distributions appears to be the best in-sample predictive model. Moreover, we test the statistical significance of the change between asymmetry coefficient estimates of the EGARCH model, and conclude that the majority are not statistically significant, suggesting that the asymmetry coefficients do not depend on the sample period.O principal objetivo desta dissertação é investigar os efeitos assimétricos dos choques na volatilidade durante a Crise Financeira de 2007 – 2009. Usando rendibilidades logarítmicas diárias, são estimados dois modelos univariados, EGARCH e GJR, que assumem três distribuições condicionais: distribuição Gaussiana normal, Student’s t e Generalized Error Distribution. Os índices de ações analisados, que incluem grandes empresas mundiais, são S&P 500, NASDAQ, FTSE 100, DAX, CAC 40, NIKKEI 225 e HSI. O período temporal dos dados começa a 15 de setembro de 2006 até 15 de setembro de 2010, sendo dividido em dois sub-períodos pela falência do Lehman Brothers no dia 15 de setembro de 2008. Os resultados sugerem que o efeito assimétrico está presente em todos os mercados acionistas que foram analisados. De um modo geral, o impacte torna-se mais fraco depois da falência do Lehman Brothers, indicando que os choques negativos não aumentam a volatilidade tanto como aumentam antes da falência. O modelo EGARCH com distribuições de caudas pesadas, é o melhor modelo para a previsão in-sample. Adicionalmente, é testada a significância estatística das diferenças entre as estimativas dos coeficientes de assimetria do modelo EGARCH. Concluiu-se que a maioria das diferenças não é estatisticamente significativa, sugerindo assim que os coeficientes de assimetria não dependem do período temporal dos dados.2022-12-16T00:00:00Z2019-12-17T00:00:00Z2019-12-172019-10info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10071/19550TID:202359549engKovalchuk, Svyatoslavinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T17:30:32Zoai:repositorio.iscte-iul.pt:10071/19550Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:13:43.434668Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
The asymmetry effect on volatility during the global financial crisis |
title |
The asymmetry effect on volatility during the global financial crisis |
spellingShingle |
The asymmetry effect on volatility during the global financial crisis Kovalchuk, Svyatoslav Volatility Asymmetry effects Global financial crisis Stock market indices Volatilidade Efeito assimétrico Crise financeira Índices de ações |
title_short |
The asymmetry effect on volatility during the global financial crisis |
title_full |
The asymmetry effect on volatility during the global financial crisis |
title_fullStr |
The asymmetry effect on volatility during the global financial crisis |
title_full_unstemmed |
The asymmetry effect on volatility during the global financial crisis |
title_sort |
The asymmetry effect on volatility during the global financial crisis |
author |
Kovalchuk, Svyatoslav |
author_facet |
Kovalchuk, Svyatoslav |
author_role |
author |
dc.contributor.author.fl_str_mv |
Kovalchuk, Svyatoslav |
dc.subject.por.fl_str_mv |
Volatility Asymmetry effects Global financial crisis Stock market indices Volatilidade Efeito assimétrico Crise financeira Índices de ações |
topic |
Volatility Asymmetry effects Global financial crisis Stock market indices Volatilidade Efeito assimétrico Crise financeira Índices de ações |
description |
The main objective of this dissertation is to investigate the asymmetric effects of shocks on volatility during the Global Financial Crisis of 2007 – 2009. Using daily logarithmic returns, we estimate univariate EGARCH and GJR models assuming three different conditional distributions: the Gaussian normal, Student’s t and Generalized Error Distribution. The stock indices under analysis, which include largest companies in the world, are S&P 500, NASDAQ, FTSE 100, DAX, CAC 40, NIKKEI 225 and HSI. The data ranges from September 15, 2006 to September 15, 2010, being split in two subsamples by the collapse of Lehman Brothers on September 15, 2008. Our results suggest that asymmetric effects are present in all stock markets analysed. In most cases, the impact becomes weaker after the Lehman Brothers bankruptcy, indicating that the negative shocks did not raise volatility as much as they did before the bankruptcy. EGARCH model with fatter tailed distributions appears to be the best in-sample predictive model. Moreover, we test the statistical significance of the change between asymmetry coefficient estimates of the EGARCH model, and conclude that the majority are not statistically significant, suggesting that the asymmetry coefficients do not depend on the sample period. |
publishDate |
2019 |
dc.date.none.fl_str_mv |
2019-12-17T00:00:00Z 2019-12-17 2019-10 2022-12-16T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10071/19550 TID:202359549 |
url |
http://hdl.handle.net/10071/19550 |
identifier_str_mv |
TID:202359549 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
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openAccess |
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application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799134693922177024 |