The asymmetry effect on volatility during the global financial crisis

The main objective of this dissertation is to investigate the asymmetric effects of shocks on volatility during the Global Financial Crisis of 2007 – 2009. Using daily logarithmic returns, we estimate univariate EGARCH and GJR models assuming three different conditional distributions: the Gaussian n...

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Bibliographic Details
Main Author: Kovalchuk, Svyatoslav (author)
Format: masterThesis
Language:eng
Published: 2019
Subjects:
Volatility
Asymmetry effects
Global financial crisis
Stock market indices
Volatilidade
Efeito assimétrico
Crise financeira
Índices de ações
Online Access:http://hdl.handle.net/10071/19550
Country:Portugal
Oai:oai:repositorio.iscte-iul.pt:10071/19550

Internet

http://hdl.handle.net/10071/19550

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