a r t i c l e i n f o JEL classification: C22 E44 F31 Keywords: Monetary shocks Asymmetric effects MSVAR–EGARCH In this paper, we study the effect of monetary shocks on the Chinese stock market over the period of 2005 to 2011 with the MSVAR–EGARCH model. The evidence suggests that Chinese monetary policies have significantly asymmetric effects on the stock market in different time periods and m...

In this article, we investigated the volatility of Chinese open-end funds market by using Zhongxin open-end funds index. According to the characteristics of different GARCH models, we empirically studied GARCH, EGARCH and GARCH_M model. The result indicated that GARCH (1, 1) model and GARCH_M (1, 1) model could better fit the characteristics of the index return rate. At the same time, the resul...

In this paper we analyse the effect of news relating to the expected path of monetary policy on interest rate futures. Central banks’ transparency is in most respects much greater than it was a decade ago, and so central bank communication needs to be included as a potential source of news. We therefore consider four types of news: macroeconomic news, overseas news, monetary policy surprises an...

In this paper we re-examine the question of the excessive implied persistence of volatility estimates when GARCH-type models are used. We consider ten actively traded US stocks and we con rm the already established result in the literature that, when volume traded is inserted in the GARCH(1,1) or EGARCH(1,1) models for returns, the estimated persistence decreases. Since we feel that volume is a...

This paper analyses the asymmetric volatility in Japanese electronics and electrical equipment (hereafter, electronics) patents in the USA from 1975 to 1997. The number of patents has been increasing steadily over time and the electronics industry has a 30% share of total Japanese patents in the USA. Thus, such patents reflect a strategic development by Japanese companies for the US market. The...

A test for time-varying correlation is developed within the framework of a dynamic conditional score (DCS) model for both Gaussian and Student t-distributions. The test may be interpreted as a Lagrange multiplier test and modi…ed to allow for the estimation of models for time-varying volatility in the individual series. Unlike standard moment-based tests, the score-based test statistic includes...

Using DCC-GARCH and EGARCH model, this paper finds that since 1990, the relationship between crude oil prices and the US dollar index is time-varying, demonstrating a process of “very weak correlation—negative correlation—enhanced negative correlation—weakening negative correlation”, but the existing research does not provide enough reasonable explanation. Therefore, this paper proposed a “key ...

This study investigates the time series beaviour of daily stock returns of four firms listed in the Nigerian StockMarket from 2nd January, 2002 to 31st December, 2006, using three different models of heteroscedastic processes, namely: GARCH (1,1), EGARCH (1,1) and GJR-GARCHmodels respectively. The four firms whose share prices were used in this analysis are UBA, Unilever, Guiness and Mobil. All...

The Russia-Ukraine military conflict, commencing on February 24, 2022, notably impacted the international community. This study aims to quantify volatility engendered by drawing from analysis of stock market indices across 40 countries. Time-series returns data January 1 December 31, were examined utilizing EGARCH econometric models. relationship between and news regarding conflict was analyzed...