|
on Econometric Time Series |
| By: | Ahmed Shamiri (University Kebangsaan Malaysia); Abu Hassan (University Kebangsaan Malaysia) |
| Abstract: | This paper examines and estimate the three GARCH(1,1) models (GARCH, EGARCH and GJR-GARCH) using the daily price data. Two Asian stock indices KLCI and STI are studied using daily data over a 14-years period. The competing Models include GARCH, EGARCH and GJR-GARCH used with three different distributions, Gaussian normal, Student-t, Generalized Error Distribution. The estimation results show that the forecasting performance of asymmetric GARCH Models (GJR-GARCH and EGARCH), especially when fat-tailed asymmetric densities are taken into account in the conditional volatility, is better than symmetric GARCH. Moreover, its found that the AR(1)-GJR model provide the best out-of- sample forecast for the Malaysian stock market, while AR(1)-EGARCH provide a better estimation for the Singaporean stock market. |
| Keywords: | ARCH-Models, Asymmetry, Stock market indices and volatility modeling, SAS/ETS software. |
| JEL: | C1 C2 C3 C4 C5 C8 |
| Date: | 2005–09–08 |
| URL: | http://d.repec.org/n?u=RePEc:wpa:wuwpem:0509015&r=ets |
| By: | DIONYSIOS CHIONIS (DEMOCRITUS UNIVERSITY, GREECE); COSTAS LEON (DEMOCRITUS UNIVERSITY, GREECE) |
| Abstract: | We examine the transmission process of the policy rate to the lending and deposit rates in Greece for the period 1996-2004 within bivariate cointegration and error correction framework. A significant structural break takes place with the accession of Greece into EMU in 2001. The bank rates become much more responsive to the policy rate in terms of impact multipliers and speed of convergence to the equilibrium, a consequence of the common monetary policy. However, the process is still not complete even after the accession into the EMU. |
| Keywords: | interest rate pass-through, monetary policy, transmission dynamics, Greece. |
| JEL: | E52 E43 |
| Date: | 2005–09–09 |
| URL: | http://d.repec.org/n?u=RePEc:wpa:wuwpma:0509016&r=ets |
| By: | Jonathan B. Hill (Department of Economics, Florida International University) |
| Abstract: | In this paper we develop asymptotically chi-squared tests of extremal serial dependence for heavy-tailed time series, including infinite variance and infinite mean processes. The methodology forms a basis for establishing bivariate tests of extremal dependence usable as a means to test contagion and explosive market co-movements. We use a difference in extreme tail scales as our measure of dependence, which is similar in spirit to the co-difference for stable random processes, and develop left-, right-, and two-tailed portmanteau-type test statistics. Our test statistics have a chi-squared limit distribution under the null hypothesis of independence, or under the hypothesis of extremal white-noise for processes near-epochdependent on a mixing process; and obtain a power of one for extremal dependent processes under general conditions. In a controlled experiment we apply a statistic ranking strategy in order to select a tail fractile nuisance index, resulting in exceptional rejection frequencies under extremal white-noise, ARMA, and asymmetric SETAR hypotheses. We apply one- and two-tailed tests to various macroeconomic and financial time series,and demonstrate low levels of significant, asymmetric (left tail), and persistent extremal dependence in the returns and absolute returns of the NASDAQ, and the absolute returns of the Shanghai Stock Exchange. |
| Keywords: | dependence, white-noise, near-epoch-dependence, mixingales, regular variation, infinite variance, portmanteau test |
| JEL: | C12 C16 C52 |
| Date: | 2005–08 |
| URL: | http://d.repec.org/n?u=RePEc:fiu:wpaper:0513&r=ets |