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Modeling sudden volatility changes: Evidence from Japanese and Korean stock markets by Sang Hoon Kang; Hwan-Gue Cho; Seong-Min Yoon is a Physics and Astronomy article available to read on EtoBox.

What is Modeling sudden volatility changes: Evidence from Japanese and Korean stock markets about?

In this study, we have investigated sudden changes in volatility and re-examined the persistence of volatility in Japanese and Korean stock markets during 1986-2008. Using the iterated cumulative sums of squares (ICSS) algorithm, we have determined that the identification of sudden changes is generally associated with global financial and political events. We have also demonstrated that controlling sudden changes effectively reduces the persistence of volatility or long memory and that incorporating information regarding sudden changes in variance improves the accuracy of estimating volatility dynamics and forecasting future volatility for researchers and investors.

Who reads Modeling sudden volatility changes: Evidence from Japanese and Korean stock markets?

Author

Sang Hoon Kang; Hwan-Gue Cho; Seong-Min Yoon

Publisher

Elsevier Science; Elsevier ; Elsevier BV (ISSN 0378-4371)

Published

2009

Language

EN

Field

Physics and Astronomy (Physical Sciences)