Seasonal asymmetric persistence in volatility: an extension of GARCH models

Reference : Seasonal asymmetric persistence in volatility: an extension of GARCH models


	Document type :	Parts of books : Contribution to collective works
	Discipline(s) :	Business & economic sciences : Finance
	To cite this reference:	http://hdl.handle.net/10993/16753

Title :	Seasonal asymmetric persistence in volatility: an extension of GARCH models
Language :	English
Author, co-author :	Terraza, Virginie [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Center for Research in Economic Analysis (CREA) >]
Publication date :	2004
Main document title :	Computational Finance and its Applications
Editor :	Wessex Institute of Technology
Publisher :	WIT Press
Pages :	9
Peer reviewed :	No
ISBN :	978-1-85312-709-0
City :	Southampton
Country :	UK
Keywords :	[en] non linearity ; conditional volatility
Abstract :	[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.
Target :	Researchers ; Professionals
Permalink :	http://hdl.handle.net/10993/16753

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