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Modeling volatility of the French stock market

Author

Listed:
  • Nidhal Mgadmi

    (University of Jendouba)

  • Khemaies Bougatef

    (University of Kairouan)

Abstract

This paper aims to investigate the volatility of the French stock market using the CAC40 index on daily and monthly frequencies. For this purpose, we use linear and nonlinear ARCH models to check whether the magnitude of volatility can be explained by data frequency and cyclical nonlinearity. Our findings reveal that the EGARCH model outperforms the TGARCH model in capturing volatility for both daily and monthly data.

Suggested Citation

  • Nidhal Mgadmi & Khemaies Bougatef, 2017. "Modeling volatility of the French stock market," Economics Bulletin, AccessEcon, vol. 37(2), pages 988-998.
    • Handle: RePEc:ebl:ecbull:eb-17-00154
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    GARCH models; market volatility; CAC40; stationarity; asymmetry; nonlinearity;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

    Statistics

    Access and download statistics

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