Asymmetry of return volatility revisited: ibovespa, merval, and inmex

Authors

  • Thiago Fleith Otuki UFSC; Departamento de Economia
  • Carlos Henrique Radavelli Universidade de Tecnologia e Ciência
  • Fernando Seabra UFSC
  • Newton Carneiro Affonso da Costa Jr. UFSC

DOI:

https://doi.org/10.5700/issn.2177-8736.rege.2008.36654

Keywords:

Asymmetry, GARCH models, Volatility

Abstract

This paper searched, for evidence of the asymmetric effect on volatility in the stock index return series of Argentina (Merval), Brazil (Ibovespa), and Mexico (Inmex) from January 2000 to December 2005 using ARCH modeling. Results showed a greater influence of negative events on volatility than positive ones of the same intensity, and that shocks on the return series persisted for some time. This is similar to findings of Ceretta and Costa Jr. (1999) during the second half of the 1990 decade, a period with many financial crises. This comparison permits conjecture that this asymmetric effect does not depend upon whether the period in question was one with economic shocks or not.

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Published

2008-12-01

How to Cite

Otuki, T. F., Radavelli, C. H., Seabra, F., & Costa Jr., N. C. A. da. (2008). Asymmetry of return volatility revisited: ibovespa, merval, and inmex . REGE Revista De Gestão, 15(4), 71-84. https://doi.org/10.5700/issn.2177-8736.rege.2008.36654

Issue

Section

Finanças