An analysis of the Swedish Stock Market Volatility with realized volatility, implied volatility and conditional times series models
(2011) NEKM07 20111Department of Economics
- Abstract
- This study examines the response of the volatility in the Swedish stock market to positive and negative surprise return shocks. The study also explores the behaviour of the volatility following near-zero return shocks. To the author’s knowledge, this is the first study analysing the Swedish stock market volatility using two asymmetric econometric time series models, EGARCH and the GJR model, implied volatility and realized volatility. The results provide evidence that the volatility increases more after negative surprise return shocks than after positive shocks. While implied volatility and the time series models predict a large increase following negative shocks compared to positive shocks, realized volatility states a smaller increase to... (More)
- This study examines the response of the volatility in the Swedish stock market to positive and negative surprise return shocks. The study also explores the behaviour of the volatility following near-zero return shocks. To the author’s knowledge, this is the first study analysing the Swedish stock market volatility using two asymmetric econometric time series models, EGARCH and the GJR model, implied volatility and realized volatility. The results provide evidence that the volatility increases more after negative surprise return shocks than after positive shocks. While implied volatility and the time series models predict a large increase following negative shocks compared to positive shocks, realized volatility states a smaller increase to negative shocks than to positive shocks compared to implied volatility. Likewise, following near-zero returns asymmetric time series models, implied and realized volatility indicate decreasing volatility. The Swedish stock market exhibits an asymmetric behaviour but the degree of asymmetry differs over different models. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/2005684
- author
- Cabak, Alexandra LU
- supervisor
- organization
- course
- NEKM07 20111
- year
- 2011
- type
- H2 - Master's Degree (Two Years)
- subject
- keywords
- implied volatility, Asymmetric volatility, realized volatility, EGARCH, GJR-MODEL
- language
- English
- id
- 2005684
- date added to LUP
- 2011-06-29 13:29:34
- date last changed
- 2011-06-29 13:29:34
@misc{2005684, abstract = {{This study examines the response of the volatility in the Swedish stock market to positive and negative surprise return shocks. The study also explores the behaviour of the volatility following near-zero return shocks. To the author’s knowledge, this is the first study analysing the Swedish stock market volatility using two asymmetric econometric time series models, EGARCH and the GJR model, implied volatility and realized volatility. The results provide evidence that the volatility increases more after negative surprise return shocks than after positive shocks. While implied volatility and the time series models predict a large increase following negative shocks compared to positive shocks, realized volatility states a smaller increase to negative shocks than to positive shocks compared to implied volatility. Likewise, following near-zero returns asymmetric time series models, implied and realized volatility indicate decreasing volatility. The Swedish stock market exhibits an asymmetric behaviour but the degree of asymmetry differs over different models.}}, author = {{Cabak, Alexandra}}, language = {{eng}}, note = {{Student Paper}}, title = {{An analysis of the Swedish Stock Market Volatility with realized volatility, implied volatility and conditional times series models}}, year = {{2011}}, }