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Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/3518

Title: Sudden changes in volatility: The case of five central European stock markets
Authors: Wang, P
Moore, T
Keywords: Stock return volatility; Iterated Cumulative Sums of Squares algorithm; Emerging stock markets; GARCH
Publication Date: 2007
Publisher: Brunel University
Citation: Economics and Finance Discussion Papers, Brunel University, 07-24.
Abstract: This paper investigates sudden changes in volatility in the stock markets of new European Union (EU) members by utilizing the iterated cumulative sums of squares (ICSS) algorithm. Using weekly data over the sample period 1994-2006, the time period of sudden change in variance of returns and the length of this variance shift are detected. A sudden change in volatility seems to arise from the evolution of emerging stock markets, exchange rate policy changes and financial crises. Evidence also reveals that when sudden shifts are taken into account in the GARCH models, the persistence of volatility is reduced significantly in every series. It suggests that many previous studies may have overestimated the degree of volatility persistence existing in financial time series.
URI: http://bura.brunel.ac.uk/handle/2438/3518
Appears in Collections:School of Social Sciences Research Papers
Economics and Finance

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