CAPTURING THE ASYMMETRIC IMPACT OF NEGATIVE VERSUS POSITIVE SHOCKS TO VOLATILITY OF A MAJOR INDEX

S. Aun Hassan, Colorado State University-Pueblo, Pueblo, U.S.A.

Published in

JOURNAL OF INTERNATIONAL FINANCE AND ECONOMICS
Volume 18, Issue 4, p49-58, December 2018

ABSTRACT

Volatility in stock indexes has affected investing decisions everywhere. This paper studies the volatility behavior of S&P 500 index over a time period of nine years. The time period is of crucial importance due to the most recent recession the US economy that had its effects on most European and Asian economies. The study utilizes a Univariate (asymmetric) GARCH model to estimate the conditional variance of the return series. Results show asymmetric behavior and high persistence of shocks to volatility. These results will help better understand the volatility behavior of stock indexes and provide major implications for investors and researchers.

Keywords

asymmetric, impact, volatility, index


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