Modeling and Forecasting the Volatility of Eastern European Emerging Markets

Sang Hoon Kang () and Seong-Min Yoon
Additional contact information
Sang Hoon Kang: Gyeongsang National University

East Asian Economic Review, 2009, vol. 13, issue 1, 113-132

Abstract: This study has attempted to seek a volatility forecasting model that can reflect sufficiently the long memory characteristic in the volatility of four Eastern European emerging stock markets, naThis study has attempted to seek a volatility forecasting model that can reflect sufficiently the long memory characteristic in the volatility of four Eastern European emerging stock markets, namely, Hungary, Poland, Russia, and Slovakia. From the results of our empirical analysis, we found that the FIGARCH model is better equipped to capture the long memory property in the volatility of these markets than the GARCH and IGARCH models. More importantly, the FIGARCH model is found to provide superior performance in one-day-ahead volatility forecasts. Thus, this study recommends researchers, portfolio managers, and traders to use the long memory FIGARCH model in analyzing and forecasting the volatility dynamics of Eastern European emerging markets.

Keywords: Eastern European; Emerging Market; Volatility; Long Memory; FIGARCH; DM Test (search for similar items in EconPapers)
JEL-codes: C22 C52 G12 (search for similar items in EconPapers)
Date: 2009
References: Add references at CitEc
Citations:

Downloads: (external link)
http://dx.doi.org/10.11644/KIEP.JEAI.2009.13.1.198 Full text (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:ris:eaerev:0126

Access Statistics for this article

East Asian Economic Review is currently edited by JE Lee

More articles in East Asian Economic Review from Korea Institute for International Economic Policy [30147] 3rd Floor Building C Sejong National Research Complex 370 Sicheong-daero Sejong-si, Korea. Contact information at EDIRC.
Bibliographic data for series maintained by JE Lee ().