51 Pages Posted: 18 Apr 2011
Date Written: January 1, 1999
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: 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