Asymmetric GARCH and the financial crisis: a preliminary study

The paper deals with estimation of both general GARCH as well as asymmetric EGARCH and TGARCH models, used to model the leverage effect of good news and bad news on market volatility. We estimate the models using daily returns of S&P 500 stock index and describe the news impact curves (NICs) for these models. When estimating the crisis series, we show the possibility of using a news impact surface to describe the results from models of higher orders.

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Year of publication:	2009-11-03
Authors:	Výrost, Tomáš ; Baumöhl, Eduard

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Výrost, Tomáš and Baumöhl, Eduard (2009): Asymmetric GARCH and the financial crisis: a preliminary study.
Classification:	C5 - Econometric Modeling ; G15 - International Financial Markets ; C22 - Time-Series Models ; G01 - Financial Crises
Source:	BASE

Persistent link: https://www.econbiz.de/10015225110