Modeling volatility of the French stock market

Nidhal Mgadmi () and Khemaies Bougatef ()
Additional contact information
Nidhal Mgadmi: University of Jendouba
Khemaies Bougatef: University of Kairouan

Economics Bulletin, 2017, vol. 37, issue 2, 988-998

Abstract: 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: C5 G1 (search for similar items in EconPapers)
Date: 2017-05-05
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2017/Volume37/EB-17-V37-I2-P86.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-17-00154

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().