Volatility clustering, leverage effects, and jumps dynamics in emerging Asian equity markets

Elton Daal, Atsuyuki Naka and Jung-Suk Yu
Additional contact information
Elton Daal: University of New Orleans
Atsuyuki Naka: University of New Orleans

No 2004-05, Working Papers from University of New Orleans, Department of Economics and Finance

Abstract: This paper proposes a mixed GARCH-Jump model that is tailored to the specific circumstances arising in emerging equity markets. Our model accommodates lagged currency returns as a local information variable in the autoregressive jump intensity function, incorporates jumps in the returns and volatility, and allows volatility to respond asymmetrically to both normal innovations and jump shocks. The model captures the distinguishing features of the Asian index returns and significantly improves the fit for those markets that were affected by the 1997 Asian crisis. Our proposed model yields higher levels of conditional kurtosis and superior forecasts of the expected arrival rate of jumps.

Keywords: Jumps; Volatility; Leverage effects; Emerging markets; Asia; Equity markets (search for similar items in EconPapers)
JEL-codes: C22 F31 G15 (search for similar items in EconPapers)
Pages: 47 pages
Date: 2004-09-30
New Economics Papers: this item is included in nep-ets, nep-fin, nep-fmk and nep-sea
References: Add references at CitEc
Citations:

Downloads: (external link)
http://louisdl.louislibraries.org/cgi-bin/showfile.exe?CISOROOT=/EFW&CISOPTR=24 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to louisdl.louislibraries.org:80 (No such host is known. )

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:uno:wpaper:2004-05

Access Statistics for this paper

More papers in Working Papers from University of New Orleans, Department of Economics and Finance Contact information at EDIRC.
Bibliographic data for series maintained by Janet Murphy Crane ().