Forecasting volatility of the ASEAN-5 stock markets: a nonlinear approach with non-normal errors

Francesco Guidi and Rakesh Gupta

No 8242, Greenwich Papers in Political Economy from University of Greenwich, Greenwich Political Economy Research Centre

Abstract: This paper aims to model and forecast the volatility of stock markets belonging to the five founder members of the Association of South-East Asian Nations, referred to as the ASEAN-5. By using Asymmetric-PARCH (APARCH) models with two different distributions (Student-t and GED) we aim to identify whether or not an asymmetric effect characterises the relation among stock return and volatility in the ASEAN-5 markets as well as under which statistical distribution these models perform better. By using several forecast error measures we show that APARCH models with t-distribution usually perform better.

Keywords: ASEAN; leverage effect; forecast (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:gpe:wpaper:8242

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