S-WoPEc
 
Scandinavian Working Papers in Economics
HomeAboutSeriesSubject/JEL codesAdvanced Search
The Economic Research Institute, Stockholm School of Economics SSE/EFI Working Paper Series in Economics and Finance

No 164:
Modeling Nordic Stock Returns with Asymmetric GARCH models

Gustaf E. Hagerud

Abstract: This paper investigates the presence of asymmetric GARCH effects in a number of equity return series, and compare the modeling performance of seven different conditional variance models, within the parametric GARCH class of models. The data consists of daily returns for 45 Nordic stocks, during the period July 1991 to July 1996. The models investigated are: EGARCH, GJR, TGARCH, A- PARCH, GQARCH, VS-ARCH, and LSTGARCH. In all these models the conditional variance is a function of the sign of lagged residuals. Thus, the models can capture the often reported negative correlation between lagged returns and conditional variance. In the paper I also introduce three new procedures for asymmetry testing. The proposed LM tests, which are based on the results of Wooldridge [1991], allow for heterokurtosis under the null. Asymmetries are detected for only 12 of the 45 series. The specifications GJR, TGARCH, and GQARCH appear to be superior for modeling the dynamics of the conditional variance. Furthermore, I show that the use of robust test statistics is advisable.

Keywords: GARCH; asymmetry; equity returns; model evaluation; (follow links to similar papers)

JEL-Codes: C12; C13; C22; C52; (follow links to similar papers)

26 pages, March 1997

Before downloading any of the electronic versions below you should read our statement on copyright.
Download GhostScript for viewing Postscript files and the Acrobat Reader for viewing and printing pdf files.

Full text versions of the paper:

hastef0164.dvi    TeX dvi file (100kB) 
hastef0164.ps    PostScript file (3.95MB) 
hastef0164.ps.zip    PKZipped PostScript (1.12MB) 
hastef0164.pdf    PDF-file (477kB) 
hastef0164.pdf.zip    PDF-file (zipped) (316kB) 
Download Statistics

Questions (including download problems) about the papers in this series should be directed to Helena Lundin ()
Report other problems with accessing this service to Sune Karlsson () or Helena Lundin ().

Programing by
Design by Joachim Ekebom

Handle: RePEc:hhs:hastef:0164 This page was generated on 2014-12-14 19:22:52