EconPapers    
Economics at your fingertips  
 

Large Shocks in the Volatility of the Dow Jones Industrial Average Index: 1928-2010

Amelie CHARLES and Olivier Darné

Working Papers from HAL

Abstract: We determine the events that cause large shocks in volatility of the DJIA index over the period 1928-2010, using intervention analysis and conditional heteroscedasticity model. We use a moving subsample window to take into account the periods with high or low volatility, allowing thus to identify large shocks as extraordinary movements perceived by the investors. We show that these large shocks can be associated with particular events (financial crashes, elections, wars, monetary policies, . . . ). We show that some shocks are not identified as extraordinary movements due to their occurring during high volatility episodes, especially the 1929-1934, 1937-1938 and 2008-2010 periods.

New Economics Papers: this item is included in nep-fmk
Date: 2012-03-14
Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00678932
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://hal.archives-ouvertes.fr/docs/00/67/89/32/PDF/LEMNA_WP_201207.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:hal:wpaper:hal-00678932

Access Statistics for this paper

More papers in Working Papers from HAL
Series data maintained by CCSD ().

 
Page updated 2014-07-23
Handle: RePEc:hal:wpaper:hal-00678932