University of Sussex
Browse
1-s2.0-S0927539814000760-main.pdf (652.8 kB)

Modelling stock volatilities during financial crises: A time varying coefficient approach

Download (652.8 kB)
journal contribution
posted on 2023-06-09, 09:07 authored by Menelaos Karanasos, Alexandros G Paraskevopoulos, Faek Menla AliFaek Menla Ali, Michail Karoglou, Stavroula Yfanti
We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two decades in the volatility dynamics, including the underlying volatility persistence and volatility spillover structure. Using daily data from several key stock market indices, the results of our bivariate GARCH models show the existence of time varying correlations as well as time varying shock and volatility spillovers between the returns of FTSE and DAX, and those of NIKKEI and Hang Seng, which became more prominent during the recent financial crisis. Our theoretical considerations on the time varying model which provides the platform upon which we integrate our multifaceted empirical approaches are also of independent interest. In particular, we provide the general solution for time varying asymmetric GARCH specifications, which is a long standing research topic. This enables us to characterize these models by deriving, first, their multistep ahead predictors, second, the first two time varying unconditional moments, and third, their covariance structure. © 2014.

History

Publication status

  • Published

File Version

  • Published version

Journal

Journal of Empirical Finance

ISSN

0927-5398

Publisher

Elsevier

Volume

29

Page range

113-128

Department affiliated with

  • Business and Management Publications

Full text available

  • Yes

Peer reviewed?

  • Yes

Legacy Posted Date

2017-12-07

First Open Access (FOA) Date

2017-12-07

First Compliant Deposit (FCD) Date

2017-12-07

Usage metrics

    University of Sussex (Publications)

    Categories

    No categories selected

    Licence

    Exports

    RefWorks
    BibTeX
    Ref. manager
    Endnote
    DataCite
    NLM
    DC