Economics, Econometrics and Finance
3 years ago

Asymmetric GARCH model reveals stock market volatility impact of negative news.

Study on stylized stock market volatility based on asymmetric GARCH model in the main area of BRI region
Paksasrun Chitpattanapaibul, Desheng Wu

Paper Summary

The study looked at stock market volatility in different countries from 2010 to 2019. They used models to analyze how bad news affects volatility more than good news. The results showed that volatility can persist over both short and long periods. The EGARCH model was found to be the most accurate for measuring volatility, and the KOSPI market was the most sensitive to bad news compared to other markets.

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