Volume no :12, Issue no: 2, December (2014)

MODELLING VOLATILITY: SYMMETRIC OR ASYMMETRIC GARCH MODELS?

Author's: Anupam Dutta
Pages: [99] - [108]
Received Date: October 22, 2014
Submitted by:

Abstract

In this paper, we estimate GARCH, EGARCH, and GJR-GARCH models assuming normal and heavy-tailed distribution (i.e., GED). Results suggest that when the heavy-tailed distribution is considered, the persistence has found to be reduced in all the cases. Findings also reveal that positive shocks are more common than the negative shocks in this market.

Keywords

GARCH models, volatility, asymmetric response.