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Author
Olbryś Joanna (Bialystok University of Technology, Poland)
Title
Asymmetric Impact of Innovations on Volatility in the Case of the US and CEEC-3 Markets : EGARCH Based Approach
Asymetryczny wpływ dodatnich i ujemnych stóp zwrotu na zmienność w przypadku rynków Stanów Zjednoczonych, Polski, Czech i Węgier : podejście oparte na modelu EGARCH
Source
Dynamic Econometric Models, 2013, vol. 13, s. 33-50, rys., tab., bibliogr. 35 poz.
Keyword
Kryzys subprime, Zmienność, Stopa zwrotu, Informacja
Subprime crisis, Variability, Rate of return, Information
Note
summ., streszcz.
Country
Republika Czeska, Stany Zjednoczone Ameryki, Węgry, Polska
Czech Republic, United States of America (USA), Hungary, Poland
Abstract
Artykuł przedstawia badania dokumentujące asymetryczny wpływ dodatnich i ujemnych stóp zwrotu na zmienność w przypadku rynków Stanów Zjednoczonych, Polski, Czech i Węgier, z wykorzystaniem jednorównaniowych wykładniczych modeli EGARCH (Nelson, 1991). Porównawcze analizy empiryczne dotyczą okresu styczeń 2007-grudzień 2011 oraz dwóch jednakowo licznych podokresów: spadków (27.02.2007- -9.03.2009) i wzrostów (10.03.2009-10.03.2011). Stwierdzono wyraźny efekt asymetrii na wszystkich badanych rynkach, szczególnie silny w wyróżnionym okresie spadkowym, wyznaczonym w oparciu o zmiany wartości indeksu S&P500 i ściśle związanym z okresem kryzysu finansowego w Stanach Zjednoczonych. (abstrakt oryginalny)

The main goal of this study is to investigate the asymmetric impact of innovations on volatility in the case of the US and three biggest emerging CEEC-3 markets, using univariate EGARCH approach. We compare empirical results for both the whole sample from Jan 3, 2007 to Dec 30, 2011, and two equal subsamples: the 'down market' period, and the 'up market' period. Pronounced negative asymmetry effects are presented in the case of all markets, and are especially strong in the 'down market' period, which is closely connected with the 2007 US subprime crisis period. (original abstract)
Accessibility
The Library of Warsaw School of Economics
The Main Library of Poznań University of Economics and Business
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Bibliography
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ISSN
1234-3862
Language
eng
URI / DOI
http://dx.doi.org/10.12775/DEM.2013.002
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