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Modeling the volatility of FTSE All Share Index Returns

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  • Bayraci, Selcuk

Abstract

We tested different GARCH models in modeling the volatility of stock returns in London Stock Exchange. The monthly returns of FTSE All Share Index during the period of February 1965 and October 2002 and GARCH, TGARCH, EGARCH, and AGARCH models have been used for the analysis.

Suggested Citation

  • Bayraci, Selcuk, 2007. "Modeling the volatility of FTSE All Share Index Returns," MPRA Paper 28095, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:28095
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    References listed on IDEAS

    as
    1. Wilson, Jack W & Jones, Charles P, 1990. "Is There a January Effect in Corporate Bond and Paper Returns?," The Financial Review, Eastern Finance Association, vol. 25(1), pages 55-79, February.
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    3. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    4. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    5. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    6. repec:ebl:ecbull:v:3:y:2005:i:19:p:1-5 is not listed on IDEAS
    7. Lee, Byung-Joo, 1992. "A Heteroskedasticity Test Robust to Conditional Mean Misspecification," Econometrica, Econometric Society, vol. 60(1), pages 159-171, January.
    8. Venus Khim-Sen Liew & Terence Tai-leung Chong, 2005. "Autoregressive Lag Length Selection Criteria in the Presence of ARCH Errors," Economics Bulletin, AccessEcon, vol. 3(19), pages 1-5.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    volatility modeling; GARCH; EGARCH; TGARCH; AGARCH;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics

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