Modelling and forecasting the volatility of the portuguese stock index PSI-20
Autor(a) principal: | |
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Data de Publicação: | 2004 |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/9973 |
Resumo: | The volatility clustering often seen in financial data has increased the interest of researchers in applying good models to measure and forecast stock returns. This paper aims to model the volatility for daily and weekly returns of the Portuguese Stock Index PSI-20. By using simple GARCH, GARCH-M, Exponential GARCH (EGARCH) and Threshold ARCH (TARCH) models, we find support that there are significant asymmetric shocks to volatility in the daily stock returns, but not in the weekly stock returns. We also find that some weekly returns time series properties are substantially different from properties of daily returns, and the persistence in conditional volatility is different for some of the sub-periods referred. Finally, we compare the forecasting performance of the various volatility models in the sample periods before and after the terrorist attack on September 11, 2001. |
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Modelling and forecasting the volatility of the portuguese stock index PSI-20EGARCHforecastingGARCHGARCH-Mleverage effectPSI-20 indexTARCHvolatilityThe volatility clustering often seen in financial data has increased the interest of researchers in applying good models to measure and forecast stock returns. This paper aims to model the volatility for daily and weekly returns of the Portuguese Stock Index PSI-20. By using simple GARCH, GARCH-M, Exponential GARCH (EGARCH) and Threshold ARCH (TARCH) models, we find support that there are significant asymmetric shocks to volatility in the daily stock returns, but not in the weekly stock returns. We also find that some weekly returns time series properties are substantially different from properties of daily returns, and the persistence in conditional volatility is different for some of the sub-periods referred. Finally, we compare the forecasting performance of the various volatility models in the sample periods before and after the terrorist attack on September 11, 2001.Instituto Superior de Economia e GestãoRepositório da Universidade de LisboaCaiado, Jorge2015-10-30T13:47:10Z20042004-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/9973engCaiado, Jorge (2004). "Modelling and forecasting the volatility of the portuguese stock index PSI-20". Estudos de Gestão, IX(1):3-22info: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:RCAAP2023-03-06T14:40:22Zoai:www.repository.utl.pt:10400.5/9973Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T16:56:31.975355Repositório 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 |
Modelling and forecasting the volatility of the portuguese stock index PSI-20 |
title |
Modelling and forecasting the volatility of the portuguese stock index PSI-20 |
spellingShingle |
Modelling and forecasting the volatility of the portuguese stock index PSI-20 Caiado, Jorge EGARCH forecasting GARCH GARCH-M leverage effect PSI-20 index TARCH volatility |
title_short |
Modelling and forecasting the volatility of the portuguese stock index PSI-20 |
title_full |
Modelling and forecasting the volatility of the portuguese stock index PSI-20 |
title_fullStr |
Modelling and forecasting the volatility of the portuguese stock index PSI-20 |
title_full_unstemmed |
Modelling and forecasting the volatility of the portuguese stock index PSI-20 |
title_sort |
Modelling and forecasting the volatility of the portuguese stock index PSI-20 |
author |
Caiado, Jorge |
author_facet |
Caiado, Jorge |
author_role |
author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Caiado, Jorge |
dc.subject.por.fl_str_mv |
EGARCH forecasting GARCH GARCH-M leverage effect PSI-20 index TARCH volatility |
topic |
EGARCH forecasting GARCH GARCH-M leverage effect PSI-20 index TARCH volatility |
description |
The volatility clustering often seen in financial data has increased the interest of researchers in applying good models to measure and forecast stock returns. This paper aims to model the volatility for daily and weekly returns of the Portuguese Stock Index PSI-20. By using simple GARCH, GARCH-M, Exponential GARCH (EGARCH) and Threshold ARCH (TARCH) models, we find support that there are significant asymmetric shocks to volatility in the daily stock returns, but not in the weekly stock returns. We also find that some weekly returns time series properties are substantially different from properties of daily returns, and the persistence in conditional volatility is different for some of the sub-periods referred. Finally, we compare the forecasting performance of the various volatility models in the sample periods before and after the terrorist attack on September 11, 2001. |
publishDate |
2004 |
dc.date.none.fl_str_mv |
2004 2004-01-01T00:00:00Z 2015-10-30T13:47:10Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/9973 |
url |
http://hdl.handle.net/10400.5/9973 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Caiado, Jorge (2004). "Modelling and forecasting the volatility of the portuguese stock index PSI-20". Estudos de Gestão, IX(1):3-22 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Instituto Superior de Economia e Gestão |
publisher.none.fl_str_mv |
Instituto Superior de Economia e Gestão |
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 |
instname_str |
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) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
|
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1799131047849361408 |