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Measuring stock market volatility in oecd economy

Author

Listed:
  • khaled GUESMI

    (Economix, Paris West University Nanterre La Defense)

  • Irfan Kazi

    (Economix, Paris West University Nanterre La Defense)

  • Farhan Akbar

    (Paris I Sorbonne University)

Abstract

The paper applies Markov Regime Switching Model (MRSM) to investigate the volatility behaviour of seventeen OECD stock markets (U.S.A, France, Ireland, Italy, Netherlands, Spain, Denmark, Norway, Sweden, Switzerland, UK, Australia, Japan) for the period 2004-2010. The results distinguish between two different regimes for the OECD: first corresponding to low mean-high volatility and the second characterized by high mean-low volatility. The results show that the periods of high volatility generally coincide for all stock markets and this can be attributed to several economic and political events that took place in the developed markets during the period under investigation.

Suggested Citation

  • khaled GUESMI & Irfan Kazi & Farhan Akbar, 2011. "Measuring stock market volatility in oecd economy," Economics Bulletin, AccessEcon, vol. 31(4), pages 1-58.
    • Handle: RePEc:ebl:ecbull:eb-11-00890
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    File URL: http://www.accessecon.com/pubs/EB/2011/Volume31/EB-11-V31-I4-A58.pdf
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    More about this item

    Keywords

    Dynamic Conditional Correlations; Markov Regime Switching; conditional Volatility;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics

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