Modelling and forecasting the volatility of the portuguese stock index PSI-20

Detalhes bibliográficos
Autor(a) principal: Caiado, Jorge
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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spelling 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
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