This study has investigated sudden changes of volatility and examined the volatility asymmetry and persistence for the Shanghai and Shenzhen indices. In an effort to assess the impact of sudden changes in volatility asymmetry and persistence, we identify the
time points at which sudden changes in volatility occur, and then incorporate this information into the GARCH and GJR-GARCH models.
Using the ICSS algorithm, we found that the identification of sudden changes is largely associated with domestic and global events. When these sudden changes are incorporated into GARCH and GJR-GARCH models, the evidences of asymmetry and persistence has been vanished in the volatility of both markets. In addition, out-ofsample analysis confirms that volatility models with incorporating sudden changes
provide more accurate one-step-ahead volatility forecasts than their counterparts without sudden changes.
JEL classification: F3, G1
Keywords: Volatility forecasting; Sudden changes; ICSS algorithm; Asymmetry; Persistence
학회소식
학회소식
[2010년 제 2차] The Impact of Sudden Changes on Volaitility Persist
작성자 : 관리자
조회수 : 1085
게시일 :
2010-06-08
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