Munich Personal RePEc Archive

Asymmetric GARCH and the financial crisis: a preliminary study

Výrost, Tomáš and Baumöhl, Eduard (2009): Asymmetric GARCH and the financial crisis: a preliminary study.

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Abstract

The paper deals with estimation of both general GARCH as well as asymmetric EGARCH and TGARCH models, used to model the leverage effect of good news and bad news on market volatility. We estimate the models using daily returns of S&P 500 stock index and describe the news impact curves (NICs) for these models. When estimating the crisis series, we show the possibility of using a news impact surface to describe the results from models of higher orders.

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