Munich Personal RePEc Archive

Modelling and forecasting the volatility of the portuguese stock index PSI-20

Caiado, Jorge (2004): Modelling and forecasting the volatility of the portuguese stock index PSI-20. Published in: Portuguese Journal of Management Studies , Vol. XI, No. Nº1 (2004): pp. 3-21.

This is the latest version of this item.

[img]
Preview
PDF
MPRA_paper_2304.pdf

Download (206kB) | Preview

Abstract

The volatility clustering often seen in financial data has increased the interest of researchers in applying good models to measure and forecast stock returns. This paper aims to model the volatility for daily and weekly returns of the Portuguese Stock Index PSI-20. By using simple GARCH, GARCH-M, Exponential GARCH (EGARCH) and Threshold ARCH (TARCH) models, we find support that there are significant asymmetric shocks to volatility in the daily stock returns, but not in the weekly stock returns. We also find that some weekly returns time series properties are substantially different from properties of daily returns, and the persistence in conditional volatility is different for some of the sub-periods referred. Finally, we compare the forecasting performance of the various volatility models in the sample periods before and after the terrorist attack on September 11, 2001.

Available Versions of this Item

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.