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  • 2012-14: Forecasting volatility of the ASEAN-5 stock markets: a nonlinear approach with non-normal errors (Working paper)

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    Discussion paper (911.1Kb)
    Author(s)
    Guidi, Francesco
    Gupta, Rakesh
    Griffith University Author(s)
    Gupta, Rakesh
    Year published
    2012
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    Abstract
    This paper aims to model and forecast the volatility of stock markets belonging to the five founder members of the Association of South-East Asian Nations, referred to as the ASEAN-5. By using Asymmetric-PARCH (APARCH) models with two different distributions (Student-t and GED) we aim to identify whether or not an asymmetric effect characterises the relation among stock return and volatility in the ASEAN-5 markets as well as under which statistical distribution these models perform better. By using several forecast error measures we show that APARCH models with t-distribution usually perform better.This paper aims to model and forecast the volatility of stock markets belonging to the five founder members of the Association of South-East Asian Nations, referred to as the ASEAN-5. By using Asymmetric-PARCH (APARCH) models with two different distributions (Student-t and GED) we aim to identify whether or not an asymmetric effect characterises the relation among stock return and volatility in the ASEAN-5 markets as well as under which statistical distribution these models perform better. By using several forecast error measures we show that APARCH models with t-distribution usually perform better.
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    Copyright Statement
    Copyright © 2010 by author(s). No part of this paper may be reproduced in any form, or stored in a retrieval system, without prior permission of the author(s).
    Note
    Finance
    Subject
    G15 - International Financial Markets
    G17 - Financial Forecasting and Simulation
    ASEAN
    leverage effect
    forecast
    Publication URI
    http://hdl.handle.net/10072/390428
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