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Asian Flu or Wall Street Virus? Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia

Asian Flu or Wall Street Virus? Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia »

Source: Asian Flu or Wall Street Virus? Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia

Volume/Issue: 2002/154

Series: IMF Working Papers

Author(s): Jorge Chan-Lau , and Iryna Ivaschenko

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2002

ISBN: 9781451857245

Keywords: Price spillovers, volatility spillovers, asymmetric GARCH models, spillovers, stock market, stock returns, stock price,

This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility spillovers to stock markets in the Asian region during three different periods in the last decade: th...

Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons

Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons »

Source: Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons

Volume/Issue: 2003/131

Series: IMF Working Papers

Author(s): Turgut Kisinbay

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2003

ISBN: 9781451855302

Keywords: GARCH, high-frequency data, realized volatility, integrated volatility, and asymmetric volatility, forecasting, statistics, sampling, standard deviation, maximum likelihood estimation

Using realized volatility to estimate conditional variance of financial returns, we compare forecasts of volatility from linear GARCH models with asymmetric ones. We consider horizons extending to 30 days. Forecast...

Asian Flu or Wall Street Virus? Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia

Asian Flu or Wall Street Virus? Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia »

Volume/Issue: 2002/154

Series: IMF Working Papers

Author(s): Jorge Chan-Lau , and Iryna Ivaschenko

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2002

DOI: http://dx.doi.org/10.5089/9781451857245.001

ISBN: 9781451857245

Keywords: Price spillovers, volatility spillovers, asymmetric GARCH models, spillovers, stock market, stock returns, stock price,

This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility spillovers to stock markets in the Asian region during three different periods in the last decade: th...

Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons

Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons »

Volume/Issue: 2003/131

Series: IMF Working Papers

Author(s): Turgut Kisinbay

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2003

DOI: http://dx.doi.org/10.5089/9781451855302.001

ISBN: 9781451855302

Keywords: GARCH, high-frequency data, realized volatility, integrated volatility, and asymmetric volatility, forecasting, statistics, sampling, standard deviation, maximum likelihood estimation

Using realized volatility to estimate conditional variance of financial returns, we compare forecasts of volatility from linear GARCH models with asymmetric ones. We consider horizons extending to 30 days. Forecast...