ESTIMATING VOLATILITY CLUSTERING USING GJR-GARCH MODEL: A CASE STUDY FOR GERMAN STOCK MARKET

Rachana Baid, Cristi Spulbar (), Jatin Trivedi, Ramona Birau and Anca Ioana Iacob (troto)
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Rachana Baid: NATIONAL INSTITUTE OF SECURITIES MARKETS, INDIA
Jatin Trivedi: NATIONAL INSTITUTE OF SECURITIES MARKETS, INDIA
Ramona Birau: FACULTY OF ECONOMIC SCIENCE, UNIVERSITY CONSTANTIN BRANCUSI, TG-JIU, ROMANIA
Anca Ioana Iacob (troto): UNIVERSITY OF CRAIOVA, DOCTORAL SCHOOL OF ECONOMIC SCIENCES, CRAIOVA, ROMANIA

Annals - Economy Series, 2022, vol. 6, 4-10

Abstract: The purpose of this article is to concentrate on the stylized data in the financial series of the major index DAX of the German stock market. Moreover, we investigated the effects of positive and negative news on the volatility of the stock market of Germany, such as DAX index. One of the most fascinating topics for investor research is the financial market volatility of an emerging financial market. Because of this, factorial risks and the likelihood of larger returns are increased. We take into account daily OBS (observations) in the number of 4037 for the sample period January 2007 to November 2022. The study used the GJR-GARCH, or Generalized Autoregressive Conditional Heteroskedisticity type model. We discovered that the DAX index financial series feature a dynamic volatility scale. The GJR-GARCH model was fitted and the stronger impact of innovations was discovered.

Keywords: GJR-GARCH model; developed stock market; volatility clustering; stock returns; positive news; negative news (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:cbu:jrnlec:y:2022:v:6:p:4-10

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