Modeling volatility of the French stock market
Nidhal Mgadmi () and
Khemaies Bougatef ()
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Nidhal Mgadmi: University of Jendouba
Khemaies Bougatef: University of Kairouan
Economics Bulletin, 2017, vol. 37, issue 2, 988-998
This paper aims to investigate the volatility of the French stock market using the CAC40 index on daily and monthly frequencies. For this purpose, we use linear and nonlinear ARCH models to check whether the magnitude of volatility can be explained by data frequency and cyclical nonlinearity. Our findings reveal that the EGARCH model outperforms the TGARCH model in capturing volatility for both daily and monthly data.
Keywords: GARCH models; market volatility; CAC40; stationarity; asymmetry; nonlinearity (search for similar items in EconPapers)
JEL-codes: G1 C5 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-17-00154
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