Show simple item record

dc.contributor.authorGuidi, Francesco
dc.contributor.authorGupta, Rakesh
dc.contributor.editorAkimov, Alexandr
dc.date.accessioned2020-01-16T07:58:04Z
dc.date.available2020-01-16T07:58:04Z
dc.date.issued2012
dc.identifier.issn1836-8123
dc.identifier.otherRePEc:gri:fpaper:finance:201214
dc.identifier.urihttp://hdl.handle.net/10072/390428
dc.description.abstractThis 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.
dc.format.extent19 pages
dc.languageEnglish
dc.publisherGriffith University
dc.publisher.placeBrisbane, Australia
dc.relation.ispartofpagefrom1
dc.relation.ispartofpageto19
dc.subject.keywordsG15 - International Financial Markets
dc.subject.keywordsG17 - Financial Forecasting and Simulation
dc.subject.keywordsASEAN
dc.subject.keywordsleverage effect
dc.subject.keywordsforecast
dc.title2012-14: Forecasting volatility of the ASEAN-5 stock markets: a nonlinear approach with non-normal errors (Working paper)
dc.typeReport
dc.type.descriptionDiscussion Paper
gro.facultyGriffith Business School
gro.description.notepublicFinance
gro.rights.copyrightCopyright © 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).
gro.date.issued2012
gro.hasfulltextFull Text
gro.griffith.authorGupta, Rakesh


Files in this item

This item appears in the following Collection(s)

  • Reports
    Contains reports by Griffith authors published for government agencies, industry and other organisations.

Show simple item record