Asymmetry in Volatility: A Comparison of Developed and Transition Stock Markets

Piotr Wdowiński () and Marta Małecka ()
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Piotr Wdowiński: University of Lodz, Poland
Marta Małecka: University of Lodz, Poland

Chapter 10 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2011, vol. 9, pp 155-173 from University of Lodz

Abstract: In the last chapter Piotr Wdowiński and Marta Małecka compare main characteristics of conditional volatilities of the stock market returns in the group of developed and developing countries. With the only exception of Warsaw Stock Exchange they find some evidence of asymmetries with EGARCH models, although they are much stronger for developed countries.

Keywords: Asymmetry in volatility; Developed and transition stock markets; Warsaw Stock Exchange (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2011
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