Modelling volatility during the current financial crisis: an empirical analysis of the US and the UK stock markets

Autor:	Ioannis A. Tampakoudis, Ioannis G. Kroustalis, Demetres N. Subeniotis
Rok vydání:	2012
Předmět:	Financial economics Risk premium Autoregressive conditional heteroskedasticity Financial crisis Economics Monetary economics Business and International Management Volatility (finance) General Economics Econometrics and Finance Capital market Stock (geology)
Zdroj:	International Journal of Trade and Global Markets. 5:171
ISSN:	1742-755X 1742-7541
DOI:	10.1504/ijtgm.2012.049984
Popis:	The overarching aim of the present paper is to investigate the pattern of returns and volatility in the US and the UK stock markets prior and subsequent to the current financial crisis. For that reason, the family of GARCH models is utilised; specifically, GARCH, GARCH in Mean, threshold GARCH and exponential GARCH specifications are applied on daily data from July 2004 to April 2009. The advanced fitness of TGARCH specifications after the crisis outbreak indicates significant asymmetric behaviour and increased nervousness and uncertainty in both markets. Indeed, the financial crisis forms a risky environment where the effects of shocks are more persistent. However, contradictive empirical findings arise for the required risk premium between the examined capital markets, although it would be expected that higher risk is compensated with additional returns.
Databáze:	OpenAIRE
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