A Model of Threshold for the Two Stock Market Returns: Study of the Stock Markets in Switzerland and Canada

被引：0

作者：

Horng, Wann-Jyi ^{[1
]}

Tsai, Ju Lan ^{[2
]}

机构：

[1] Chia Nan Univ Pharm & Sci, Dept Hosp & Hlth Care Adm, Tainan, Taiwan

[2] Tamkang Univ, Grad Inst Management Sci Accounting Sect, Taipei, Taiwan

来源：

MEMS, NANO AND SMART SYSTEMS, PTS 1-6 | 2012年 / 403-408卷

关键词：

Stock market returns; asymmetric effect; GJR-GARCH model; bivariate asymmetric-GARCH model; AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY; TIME-SERIES; UNIT-ROOT; VOLATILITY;

D O I：

10.4028/www.scientific.net/AMR.403-408.1228

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

The empirical results show that the dynamic conditional correlation (DCC) and the bivariate asymmetric-IGARCH (1, 1) model is appropriate in evaluating the relationship of the Switzerland's and the Canada's stock markets. The empirical result also indicates that the Switzerland. and the Canada's stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.4685, which implies that the two stock markets is synchronized influence. Besides, the empirical result also shows that the Switzerland and the Canada's stock markets have an asymmetrical effect, and the variation risks of the Switzerland and the Canada's stock market returns also receives the influence of the good and bad news.

引用

页码：1228 / +

页数：2

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