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Forecasting Stock Market Volatility in Central and Eastern European Countries

โœ Scribed by Barry Harrison; Winston Moore

Publisher
John Wiley and Sons
Year
2011
Tongue
English
Weight
232 KB
Volume
31
Category
Article
ISSN
0277-6693

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โœฆ Synopsis

ABSTRACT

In recent years, considerable attention has focused on modelling and forecasting stock market volatility. Stock market volatility matters because stock markets are an integral part of the financial architecture in market economies and play a key role in channelling funds from savers to investors. The focus of this paper is on forecasting stock market volatility in Central and East European (CEE) countries. The obvious question to pose, therefore, is how volatility can be forecast and whether one technique consistently outperforms other techniques. Over the years a variety of techniques have been developed, ranging from the relatively simple to the more complex conditional heteroscedastic models of the GARCH family. In this paper we test the predictive power of 12 models to forecast volatility in the CEE countries. Our results confirm that models which allow for asymmetric volatility consistently outperform all other models considered. Copyright ยฉ 2011 John Wiley & Sons, Ltd.

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