2012-14: Forecasting volatility of the ASEAN-5 stock markets: a nonlinear approach with non-normal errors (Working paper)
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Gupta, Rakesh
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Akimov, Alexandr
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19 pages
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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 © 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).
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Subject
G15 - International Financial Markets
G17 - Financial Forecasting and Simulation
ASEAN
leverage effect
forecast