Modelling Asian Stock-Market Volatility (In French)
Banque de France
University of Lausanne; Swiss Finance Institute
January 1, 1999
Banque de France Working Paper No. 58
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.
Note: Downloadable document is in French.
Number of Pages in PDF File: 51
Keywords: ARCH models, Volatility, Conditional distribution, Asymmetry effects
JEL Classification: C32, G12
Date posted: April 18, 2011