dc.contributor.author | Guidi, Francesco | |
dc.contributor.author | Gupta, Rakesh | |
dc.contributor.editor | Akimov, Alexandr | |
dc.date.accessioned | 2020-01-16T07:58:04Z | |
dc.date.available | 2020-01-16T07:58:04Z | |
dc.date.issued | 2012 | |
dc.identifier.issn | 1836-8123 | |
dc.identifier.other | RePEc:gri:fpaper:finance:201214 | |
dc.identifier.uri | http://hdl.handle.net/10072/390428 | |
dc.description.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. | |
dc.format.extent | 19 pages | |
dc.language | English | |
dc.publisher | Griffith University | |
dc.publisher.place | Brisbane, Australia | |
dc.relation.ispartofpagefrom | 1 | |
dc.relation.ispartofpageto | 19 | |
dc.subject.keywords | G15 - International Financial Markets | |
dc.subject.keywords | G17 - Financial Forecasting and Simulation | |
dc.subject.keywords | ASEAN | |
dc.subject.keywords | leverage effect | |
dc.subject.keywords | forecast | |
dc.title | 2012-14: Forecasting volatility of the ASEAN-5 stock markets: a nonlinear approach with non-normal errors (Working paper) | |
dc.type | Report | |
dc.type.description | Discussion Paper | |
gro.faculty | Griffith Business School | |
gro.description.notepublic | Finance | |
gro.rights.copyright | 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). | |
gro.date.issued | 2012 | |
gro.hasfulltext | Full Text | |
gro.griffith.author | Gupta, Rakesh | |