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Forecasting volatility of the ASEAN-5 stock markets: a nonlinear approach with non-normal errors

Forecasting volatility of the ASEAN-5 stock markets: a nonlinear approach with non-normal errors

Guidi, Francesco and Gupta, Rakesh (2012) Forecasting volatility of the ASEAN-5 stock markets: a nonlinear approach with non-normal errors. Discussion Paper. Griffith University, Brisbane, Australia. (doi:2012-14)

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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.

Item Type: Monograph (Discussion Paper)
Additional Information: [1] Copyright © 2010 by author(s). [2] Discussion Paper Series in Finance, ISSN 1836-8123. [3] Discussion paper - part of the Discussion Paper Series in Finance, published by the Department of Accounting, Finance and Economics at the Griffith Business School, Brisbane, Australia. The discussion papers represent work in progress on a range of finance and financial planning issues and are published on the departmental website. [4] Paper No: 2012-14.
Uncontrolled Keywords: ASEAN, leverage effect, forecast
Subjects: H Social Sciences > HG Finance
Faculty / Department / Research Group: Faculty of Business > Greenwich Political Economy Research Centre (GPERC)
Faculty of Business > Department of International Business & Economics
Related URLs:
Last Modified: 02 Nov 2016 13:52
Selected for GREAT 2016: None
Selected for GREAT 2017: None
Selected for GREAT 2018: None
URI: http://gala.gre.ac.uk/id/eprint/8242

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