ESTIMATION OF ASYMMETRICAL VOLATILITY FOR ASSET PRICES : THE SIMULTANEOUS SWITCHING ARIMA APPROACH

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Abstract

Asymmetrical movements between the downward and upward phases of sample paths of many financial time series have been noted by economists. By incorporating the conditional heteroskedasticity aspect into the nonstationary simultaneous switching autoregressive (SSAR) model, the asymmetrical volatility function of financial time series with daily effects can be easily estimated. We report a simple empirical result for stock price daily indices of the Nikkei-225 and SP-500 using this model.

Asymmetrical movements between the downward and upward phases of sample paths of many financial time series have been noted by economists. By incorporating the conditional heteroskedasticity aspect into the nonstationary simultaneous switching autoregressive (SSAR) model, the asymmetrical volatility function of financial time series with daily effects can be easily estimated. We report a simple empirical result for stock price daily indices of the Nikkei-225 and SP-500 using this model.

Journal

  • JOURNAL OF THE JAPAN STATISTICAL SOCIETY

    JOURNAL OF THE JAPAN STATISTICAL SOCIETY 32(2), 119-140, 2002-12-01

    THE JAPAN STATISTICAL SOCIETY

References:  19

Codes

  • NII Article ID (NAID)
    110003144443
  • NII NACSIS-CAT ID (NCID)
    AA1105098X
  • Text Lang
    ENG
  • Article Type
    ART
  • ISSN
    03895602
  • NDL Article ID
    6914310
  • NDL Source Classification
    ZD43(経済--統計)
  • NDL Call No.
    Z3-1003
  • Data Source
    CJP  NDL  NII-ELS  IR  J-STAGE 
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