Asymmetric GARCH and the financial crisis: a preliminary study

Tomáš Výrost and Eduard Baumohl

MPRA Paper from University Library of Munich, Germany

Abstract: The paper deals with estimation of both general GARCH as well as asymmetric EGARCH and TGARCH models, used to model the leverage effect of good news and bad news on market volatility. We estimate the models using daily returns of S&P 500 stock index and describe the news impact curves (NICs) for these models. When estimating the crisis series, we show the possibility of using a news impact surface to describe the results from models of higher orders.

Keywords: volatility modeling; financial crisis; asymmetric GARCH class models; news impact curve (search for similar items in EconPapers)
JEL-codes: C22 C5 G01 G15 (search for similar items in EconPapers)
Date: 2009-11-03
New Economics Papers: this item is included in nep-ets and nep-mst
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Related works:
Working Paper: Asymmetric GARCH and the financial crisis: a preliminary study (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:27939

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