Asymmetry and long-memory volatility: Some empirical evidence using GARCH

Chin Wen Cheong, Abu Hassan Shaari Md Nor, Zaidi Isa

Research output: Contribution to journalArticle

31 Citations (Scopus)

Abstract

This paper investigates the asymmetry and long-memory volatility behavior of the Malaysian Stock Exchange daily data over a period of 1991-2005. The long-spanning data set enable us to examine piecewise before, during and after the economic crisis encountered in the Malaysian stock market. The daily index returns are adjusted for infrequent trading effect and the estimated Hurst's parameter allows us to rank the market efficiency across the periods. The leverage effect, clustering volatility and long-memory behavior of the volatility are fitted by the asymmetry GARCH models and GARCH with the inclusion of realized volatility at the final period. Across the periods, the results show the mixture of symmetry and asymmetry GARCH modeling.

Original languageEnglish
Pages (from-to)651-664
Number of pages14
JournalPhysica A: Statistical Mechanics and its Applications
Volume373
DOIs
Publication statusPublished - 1 Jan 2007

Fingerprint

Generalized Autoregressive Conditional Heteroscedasticity
volatility
Long Memory
Volatility
Asymmetry
asymmetry
Leverage Effect
Realized Volatility
Market Efficiency
Volatility Clustering
Hurst Parameter
GARCH Model
Data Exchange
Stock Market
economics
Inclusion
Economics
inclusions
Symmetry
Evidence

Keywords

  • BDS test
  • Fractal
  • GARCH
  • Market efficiency
  • Non-linearity
  • Sign and size bias test
  • Volatility

ASJC Scopus subject areas

  • Mathematical Physics
  • Statistical and Nonlinear Physics

Cite this

Asymmetry and long-memory volatility : Some empirical evidence using GARCH. / Wen Cheong, Chin; Md Nor, Abu Hassan Shaari; Isa, Zaidi.

In: Physica A: Statistical Mechanics and its Applications, Vol. 373, 01.01.2007, p. 651-664.

Research output: Contribution to journalArticle

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