文章基本信息

标题：An Empirical Evaluation in GARCH Volatility Modeling: Evidence from the Stockholm Stock Exchange
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作者：Chaido Dritsaki
期刊名称：Journal of Mathematical Finance
印刷版ISSN：2162-2434
电子版ISSN：2162-2442
出版年度：2017
卷号：07
期号：02
页码：366-390
DOI：10.4236/jmf.2017.72020
语种：English
出版社：Scientific Research Publishing
摘要：In this paper, we use daily stock returns from the Stockholm Stock Exchange in order to examine their volatility. For this reason, we estimate not only GARCH (1,1) symmetric model but also asymmetric models EGARCH (1,1) and GJR-GARCH (1,1) with different residual distributions. The parameters of the volatility models are estimated with the Maximum Likelihood (ML) using the Marquardt algorithm (Marquardt [1]). The findings reveal that negative shocks have a large impact than positive shocks in this market. Also, indices for the return of forecasting have shown that the ARIMA (0,0,1)-EGARCH (1,1) model with t-student provide more precise forecasting on volatilities and expected returns of the Stockholm Stock Exchange.
关键词：Stockholm Stock Exchange;Volatility;GARCH Models;Leverage Effect;Forecasting