Univariate GARCH Model Generated Volatility Skews for the CIVETS Stock Indices

Coenraad C. A. Labuschagne (), Niel Oberholzer and Pierre J. Venter
Additional contact information
Coenraad C. A. Labuschagne: University of Johannesburg
Niel Oberholzer: University of Johannesburg
Pierre J. Venter: University of Johannesburg

Chapter Chapter 24 in Advances in Applied Economic Research, 2017, pp 333-347 from Springer

Abstract: Abstract The CIVETS countries consist of Colombia, Indonesia, Vietnam, Egypt, Turkey and South Africa. They are emerging market countries that are most likely to rise quickly in economic standing. In this paper GARCH, GJR-GARCH and EGARCH models are used to explore the daily closing values for selected CIVETS equity indices. Return volatility, the persistence thereof and the best fitting model for volatility forecasting are determined. The results obtained for the GARCH models indicated that the GJR-GARCH model was the best fitting model for the equity indices of Colombia and Egypt. The EGARCH model was the best fitting model for the equity indices for Indonesia, Turkey and South Africa, whilst the result obtained delivered no clear best fitting model for the Vietnamese VN-Index. In addition, there is evidence of the leverage effect for all the Indices included in this study with the exception of the Vietnamese VN-Index. The presence of leverage effects implies that a negative shock will lead to greater volatility. A comparison is also made between the option prices produced by constructing the implied volatility skews of options generated by these models, both by inclusion of the Global Finance Crises (GFC) period and by exclusion of the period of the GFC.

Keywords: GARCH; CIVETS; Equity indices; IGBC index; JKSE index; VN-Index; EGX 100; XU 100 index; FTSE/JSE all share index (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:prbchp:978-3-319-48454-9_24

Ordering information: This item can be ordered from
http://www.springer.com/9783319484549

DOI: 10.1007/978-3-319-48454-9_24

Access Statistics for this chapter

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