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Modelling Asian Stock-Market Volatility (In French)

51 Pages Posted: 18 Apr 2011  

Sanvi Avouyi-Dovi

Banque de France

Eric Jondeau

University of Lausanne - Faculty of Business and Economics (HEC Lausanne); Swiss Finance Institute

Date Written: January 1, 1999

Abstract

Building on work about stock markets in industrialized countries, we analyze volatility of stock returns in South-East Asia using the ARCH methodology. Our goal is to highlight specific features of Asian stock market, concerning the statistical properties of returns as well as the volatility dynamics. We are then able to compare stock markets in industrialized countries with those of Asian emerging countries. This analysis shows that there is no fundamental difference between both areas: stock markets have similar statistical properties and display the same volatility pattern.

Notes: Downloadable document is in French.

Keywords: ARCH models, Volatility, Conditional distribution, Asymmetry effects

JEL Classification: C32, G12

Suggested Citation

Avouyi-Dovi, Sanvi and Jondeau, Eric, Modelling Asian Stock-Market Volatility (In French) (January 1, 1999). Banque de France Working Paper No. 58. Available at SSRN: https://ssrn.com/abstract=1734646 or http://dx.doi.org/10.2139/ssrn.1734646

Sanvi Avouyi-Dovi (Contact Author)

Banque de France ( email )

Paris
France

Eric Jondeau

University of Lausanne - Faculty of Business and Economics (HEC Lausanne) ( email )

Extranef 232
Lausanne, 1012
Switzerland
+41 21 692 33 49 (Phone)

HOME PAGE: http://www.hec.unil.ch/ejondeau/

Swiss Finance Institute ( email )

40, Boulevard du Pont-d'Arve
40, Bd du Pont-d'Arve
1211 Geneva 4, CH-6900
Switzerland
+41 21 692 33 49 (Phone)

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