Structural Breaks and Volatility Persistence of Stock Returns: Evidence from the US and UK Equity Markets

Chikashi Tsuji

Applied Economics and Finance, 2018, vol. 5, issue 6, 76-83

Abstract: This paper quantitatively investigates the effects of structural breaks on stock return volatility persistence by using the US and UK stock market index return data. Applying two kinds of representative univariate GARCH models of standard GARCH and EGARCH models, we derive the following interesting findings. (1) First, we find that for both the US and UK stock market returns, the volatility persistence parameter values of standard GARCH models decrease when structural breaks are taken into account. (2) Second, we further reveal that for both the US and UK stock market returns, the volatility persistence parameter values of EGARCH models again decline when structural breaks are taken into consideration.

Keywords: GARCH model; EGARCH model; international stock markets; structural break; volatility persistence (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:rfa:aefjnl:v:5:y:2018:i:6:p:76-83

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