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2013 | 13 | 33--50
Tytuł artykułu

Asymmetric Impact of Innovations on Volatility in the Case of the US and CEEC-3 Markets : EGARCH Based Approach

Autorzy
Treść / Zawartość
Warianty tytułu
Asymetryczny wpływ dodatnich i ujemnych stóp zwrotu na zmienność w przypadku rynków Stanów Zjednoczonych, Polski, Czech i Węgier : podejście oparte na modelu EGARCH
Języki publikacji
EN
Abstrakty
Artykuł przedstawia badania dokumentujące asymetryczny wpływ dodatnich i ujemnych stóp zwrotu na zmienność w przypadku rynków Stanów Zjednoczonych, Polski, Czech i Węgier, z wykorzystaniem jednorównaniowych wykładniczych modeli EGARCH (Nelson, 1991). Porównawcze analizy empiryczne dotyczą okresu styczeń 2007-grudzień 2011 oraz dwóch jednakowo licznych podokresów: spadków (27.02.2007- -9.03.2009) i wzrostów (10.03.2009-10.03.2011). Stwierdzono wyraźny efekt asymetrii na wszystkich badanych rynkach, szczególnie silny w wyróżnionym okresie spadkowym, wyznaczonym w oparciu o zmiany wartości indeksu S&P500 i ściśle związanym z okresem kryzysu finansowego w Stanach Zjednoczonych. (abstrakt oryginalny)
EN
The main goal of this study is to investigate the asymmetric impact of innovations on volatility in the case of the US and three biggest emerging CEEC-3 markets, using univariate EGARCH approach. We compare empirical results for both the whole sample from Jan 3, 2007 to Dec 30, 2011, and two equal subsamples: the 'down market' period, and the 'up market' period. Pronounced negative asymmetry effects are presented in the case of all markets, and are especially strong in the 'down market' period, which is closely connected with the 2007 US subprime crisis period. (original abstract)
Rocznik
Tom
13
Strony
33--50
Opis fizyczny
Twórcy
  • Bialystok University of Technology, Poland
Bibliografia
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Bibliografia
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