Exploring Advanced GARCH Models for Analyzing Asymmetric Volatility Dynamics for the Emerging Stock Market in Hungary: An Empirical Case Study

Shreevastava Aman, Raza Shahil, Bharat Kumar Meher, Ramona Birau, Anand Abhishek, Mircea Laurentiu Simion and Nadia Tudora Cirjan
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Shreevastava Aman: PG Department of Commerce&Management, Purnea University, Purnea, India
Raza Shahil: PG Department of Commerce&Management, Purnea University, Purnea, India
Bharat Kumar Meher: PG Department of Commerce&Management, Purnea University, Purnea, India
Ramona Birau: University of Craiova, “Eugeniu Carada” Doctoral School of Economic Sciences, Craiova, Romania
Anand Abhishek: PG Department of Economics, Purnea University, Purnea, India
Mircea Laurentiu Simion: University of Craiova, “Eugeniu Carada” Doctoral School of Economic Sciences, Craiova, Romania
Nadia Tudora Cirjan: National Agency for Fiscal Administration (ANAF), Regional Directorate General of Public Finance Craiova

Economics and Applied Informatics, 2024, issue 2, 41-52

Abstract: The study was conducted on BUX Index volatility for the post-2008 (from 2011) global financial crisis period using advanced GARCH models (GARCH, TGARCH, EGARCH, IGARCH, PARCH, APARCH). Based on parameters and test results appropriate model was chosen (APARCH (1,1) at Student’s t distribution) to study volatility, the presence of asymmetry, leverage effect, volatility clustering, and decay factor. Test results were linked with the macro and microenvironment (Political instability, Geopolitical crisis, Unemployment, Inflation, COVID-19, Slowdown, etc.) of the index and unique features of the index have been discovered (Like a sudden huge dip between 2020-2022). The study through mathematical and econometrics terms establishes causal links among the variables affecting the index. The paper is relevant to both investors and policymakers as BUX is one of the most important indicators as far as stock market in Hungary is concerned.

Keywords: Asymmetry; Volatility; Leverage effect; GARCH model; APARCH model; BUX Index; Hungary Stock Market (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:ddj:fseeai:y:2024:i:2:p:41-52

DOI: 10.35219/eai15840409409

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