Estimating Stock Market Volatility Using Asymmetric GARCH Models

Dima Alberg (), Haim Shalit and Rami Yosef ()
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Dima Alberg: BGU
Rami Yosef: BGU

No 610, Working Papers from Ben-Gurion University of the Negev, Department of Economics

Abstract: A comprehensive empirical analysis of the return and conditional variance of Tel Aviv Stock Exchange (TASE) indices is performed using GARCH models. The prediction performance of these conditional changing variance models is compared to newer asymmetric GJR and APARCH models. We also quantify the day-of-the-week effect and the leverage effect and test for asymmetric volatility. Our results show that the EGARCH model using a skewed Student-t distribution is the most successful in forecasting the TASE indices.

Keywords: GARCH; Leverage Effect; Day-of- Week Effect; Market Volatility (search for similar items in EconPapers)
Pages: 18 pages
Date: 2006
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Citations: View citations in EconPapers (1)

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