Author： Mun Fong W.
Publisher： Springer Publishing Company
ISSN： 1387-2834
Source： Financial Engineering and the Japanese Markets, Vol.4, Iss.1, 1997-01, pp. : 37-57
Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.
Abstract
Standard ARCH-GARCH models usually impute a high degree of persistence to conditional volatility. This persistence may be spurious if the conditional volatility is subject to structural change. This paper applies the Switching ARCH(SWARCH) model of Hamilton and Susmel (1994) to investigate regime shifts and volatility persistence in the Japanese stock market. We find that the SWARCH model provides a better description of the data and implies a much lower degree of volatility persistence than conventional ARCH models.
Related content
Dividend innovations and volatility of stock returns
Management Research News, Vol. 28, Iss. 1, 2005-01 ,pp. :
Access to resources
Recommend
Volatility clustering in monthly stock returns
Journal of Empirical Finance, Vol. 10, Iss. 4, 2003-09 ,pp. :