Table 10: Estimating volatility dynamics in subsamples prior and post the change-points of
stock market returns indices.
|
SMI |
Process |
Subsamples |
k * Date |
Normal GARCH(1,1) Estimates | ||
|
ω |
α |
β | ||||
|
FTSE |
( rt )2 |
1-3338 |
0.003[4.409] |
0.067[10.46] |
0.919[111.8] | |
|
1-2484 |
13/7/98 |
0.003[3.669] |
0.058[6.744] |
0.915[64.18] | ||
|
2485-3338 |
0.017[2.839] |
0.100[4.410] |
0.845[22.40] | |||
|
HSI |
( rt )2 |
1-3338 |
0.016[15.80] |
0.124[19.29] |
0.855[128.6] | |
|
1-2248 |
15/8/97 |
0.023[18.71] |
0.134[17.04] |
0.810[97.42] | ||
|
2249-3338 |
0.029[4.387] |
0.092[7.462] |
0.878[63.48] | |||
|
NIKKEI |
( rt )2 |
1-3338 |
0.005[6.979] |
0.134[16.33] |
0.859[105.4] | |
|
1-966 |
16/9/92 |
0.002[2.206] |
0.229[11.11] |
0.801[58.14] | ||
|
967-2290 |
14/10/97 |
0.007[4.959] |
0.080[7.805] |
0.877[52.79] | ||
|
2291-3338 |
0.011[3.125] |
0.100[5.752] |
0.875[41.36] | |||
|
S&P500 |
( rt )2 |
1-3338 |
0.0007[4.712] |
0.039[12.979] |
0.958[294.4] | |
|
1-2291 |
15/10/97 |
0.0003[3.256] |
0.018[7.796] |
0.979[409.1] | ||
|
2292-3338 |
0.013[3.440] |
0.075[5.801] |
0.883[42.41] | |||
Note: The Moulines and Lavielle (2000) multiple breaks results in Table 7 for the absolute and squared returns processes are used to
create various subsamples of each stock market return index. The estimated Normal GARCH(1,1) coefficients as well as the
Power-ARCH coefficients are reported for the total sample (T=1-3338) as the various subsamples determined by the estimated break
points. Although not all subsamples have equal size some are approximately equal which allow for a better comparison of the estimated
parameters. The bold parameters emphasize the change in the size of the volatility estimates in most subsamples (especially the
parameters referring to the constant and ARCH effects of dynamic volatility).
34
More intriguing information
1. Delayed Manifestation of T ransurethral Syndrome as a Complication of T ransurethral Prostatic Resection2. The name is absent
3. The name is absent
4. Implementation of the Ordinal Shapley Value for a three-agent economy
5. Types of Tax Concessions for Promoting Investment in Free Economic and Trade Areas
6. Job quality and labour market performance
7. The name is absent
8. GOVERNANÇA E MECANISMOS DE CONTROLE SOCIAL EM REDES ORGANIZACIONAIS
9. Regulation of the Electricity Industry in Bolivia: Its Impact on Access to the Poor, Prices and Quality
10. Evidence on the Determinants of Foreign Direct Investment: The Case of Three European Regions