Working Paper Series no. 58: Modelling Asian Stock-Market Volatility (In French)

Abstract

Building on work about stock markets in industrialized countries, we analyze volatility of stock returns in South-East Asia using the ARCH methodology. Our goal is to highlight specific features of Asian stock market, concerning the statistical properties of returns as well as the volatility dynamics. We are then able to compare stock markets in industrialized countries with those of Asian emerging countries. This analysis shows that there is no fundamental difference between both areas: stock markets have similar statistical properties and display the same volatility pattern.

Sanvi Avouyi-Dovi and Eric Jondeau
January 1999

Classification JEL : C32, G12

Keywords : ARCH models, Volatility, Conditional distribution, Asymmetry effects