IDEAS home Printed from https://ideas.repec.org/a/spt/stecon/v2y2013i2f2_2_8.html
   My bibliography  Save this article

Volatility of the European Stock Market Indices During the Global Financial Crisis - A New Proposal of Stochastic Volatility

Author

Listed:
  • Frank M. de Pinho
  • Thiago R. dos Santos

Abstract

This paper estimates the volatility of most important European stock market indices during the global financial crisis started in 2008, such as DAX, CAC40, FTSE100, among others. The estimation of volatility is made from a new family of stochastic volatility models proposed by Santos, Franco, Gamerman [33, 17] and extended to distributions of heavy tails by Pinho, Franco, Silva [32]. This new family of models denoted by non-Gaussian State Space Models (NGSSM) is a subclass of state space models where it is possible to compute the exact likelihood. It is also estimated volatility of the series by APARCH model and the results showed that NGSSM has a significantly better performance.

Suggested Citation

  • Frank M. de Pinho & Thiago R. dos Santos, 2013. "Volatility of the European Stock Market Indices During the Global Financial Crisis - A New Proposal of Stochastic Volatility," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 2(2), pages 1-8.
    • Handle: RePEc:spt:stecon:v:2:y:2013:i:2:f:2_2_8
    as

    Download full text from publisher

    File URL: http://www.scienpress.com/Upload/JSEM%2fVol%202_2_8.pdf
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spt:stecon:v:2:y:2013:i:2:f:2_2_8. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Eleftherios Spyromitros-Xioufis (email available below). General contact details of provider: http://www.scienpress.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.