An impact of the U.S. and the U.K. return rates's volatility on the stock market returns: an evidence study of Germany's stock market returns

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Title:	An impact of the U.S. and the U.K. return rates's volatility on the stock market returns: an evidence study of Germany's stock market returns
Authors:	Wann-Jyi Horng Jun-Yen Lee
Contributors:	醫務管理系
Keywords:	stock market return GARCH threshold GARCH
Date:	2008-11
Issue Date:	2009-10-12 11:28:02 (UTC+8)
Abstract:	In this paper, the researcher proposes a double threshold-IGRACH model to investigate the impacts of U.S. and U.K. stock return volatility rates for the Germany stock market. Empirical results show that the double threshold-IGRACH(1,1) model is appropriate to be used in investigating how the volatility rates of the U.S. and the U.K. stock market return affect the Germany stock returns, as well as reflects that the Germany stock market has an asymmetrical effect. It also shows that the news of the U.S. and the U.K. stock return volatilities would affect the Germany stock market returns, including its variation risk. Therefore, the double threshold-IGARCH(1,1) model has more better explanatory ability as compared to the GARCH and the GJR-GARCH models.
Relation:	IEEE Computer Society 2：p.1159-1163
Appears in Collections:	[Dept. of Hospital and Health (including master's program)] Periodical Articles

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