Volatility Clustering, Asymmetry and Hysteresis in Stock Returns: International Evidence

Détails

ID Serval
serval:BIB_C20F22D50D8C
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
Volatility Clustering, Asymmetry and Hysteresis in Stock Returns: International Evidence
Périodique
Financial Engineering and the Japanese Markets
Auteur(s)
Crouhy M., Rockinger M.
ISSN
1387-2834
Statut éditorial
Publié
Date de publication
1997
Peer-reviewed
Oui
Volume
4
Numéro
1
Pages
1–35
Langue
anglais
Résumé
Encompassing a very broad family of ARCH-GARCH models, we show that the AT-GARCH (1,1) model, where volatility rises more in response to bad newsthan to good news, and where news are considered bad only below a certain level, is a remarkably robust representation of worldwide stock market returns. The residual structure is then captured by extending ATGARCH (1,1) to an hysteresis model, HGARCH, where we modelstructured memory effects from past innovations. Obviously, this feature relates to the psychology of the markets and the way traders process information. For the French stock market we show that votalitity is affected differently, depending on the recent past being characterized by returns all above or below a certain level. In the same way a longer term trend may also influence volatility. It is found that bad news are discounted very quickly in volatility, this effect being reinforced when it comes after a negative trend in the stock index. On the opposite, good news have a very small impact on volatility except when they are clustered over a few days, which in this case reduces volatility.
Mots-clé
Garch, Hysteresis, Market psychology
Création de la notice
05/05/2017 9:45
Dernière modification de la notice
20/08/2019 15:37
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