A study of the German bubble and the DAX index volatility persistence: FIGARCHS and economical growth

Houssam Boughabi ()
Additional contact information
Houssam Boughabi: National Institute of Statistics and Applied Economics

SN Business & Economics, 2025, vol. 5, issue 6, 1-14

Abstract: Abstract This research investigates the intricate relationship between stock market fluctuations, particularly the DAX index, and macroeconomic indicators, such as German real GDP, during periods characterized by market bubbles. We extend the Johansen-Ledoit-Sornette (JLS) model by integrating fractional Brownian motion to effectively capture the long-memory properties inherent in volatility. Utilizing a FIGARCH (1,d,1) framework, our analysis reveals persistent volatility patterns within the DAX during speculative phases. Furthermore, we explore the impact of stock price movements on real GDP, demonstrating that sustained volatility significantly influences macroeconomic performance. Our findings highlight the necessity of considering financial market volatility in forecasting long-term economic stability, emphasizing the interdependence of financial markets and economic indicators in contemporary economic analysis. The result was further confirmed after being applied to the NASDAK index, the result is consistent with our finding.

Keywords: Stock market bubbles; Fractional Brownian motion; DAX volatility; Macroeconomic impact; Memory of the market (search for similar items in EconPapers)
JEL-codes: C22 E32 G12 G15 (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s43546-025-00827-6 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:spr:snbeco:v:5:y:2025:i:6:d:10.1007_s43546-025-00827-6

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/43546

DOI: 10.1007/s43546-025-00827-6

Access Statistics for this article

SN Business & Economics is currently edited by Gino D'Oca

More articles in SN Business & Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().