Reference : Seasonal asymmetric persistence in volatility: an extension of GARCH models
Parts of books : Contribution to collective works
Business & economic sciences : Finance
Seasonal asymmetric persistence in volatility: an extension of GARCH models
Terraza, Virginie mailto [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Center for Research in Economic Analysis (CREA) >]
Computational Finance and its Applications
Wessex Institute of Technology
WIT Press
[en] non linearity ; conditional volatility
[en] In this paper, we study non-linear dynamics in the CAC 40 stock index. Our empirical results, suggest combining seasonality, persistence and asymmetric effects to model the conditional volatility. We observe that seasonality can have an asymmetric impact on the volatility. In particular, we show that negative shocks observed on Mondays have a greater impact on the volatility than the other days. Then we construct a seasonal asymmetric GARCH model. It consists to add seasonal terms in the variance equation of a GJR-GARCH (1,1) model.
Researchers ; Professionals

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