Sensitivity Analysis of the Return between American Stock Market vs. European Stock MarketApply of Asymmetric GIR-GARCH-M

• Main Authors: Yen-Ju Yu, 游詠宸
• Other Authors: Tsang-jung Chung
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/66717945549268107834

碩士 === 嶺東科技大學 === 財務金融研究所 === 98 === This paper uses GJR-GARCH model to measure the volatility asymmetric effect concerning the sensitivity analysis of the return between American stock market towards European stock markets, such as English’s Germen’s and French’s. There are 2264 materials about daily return, from January 1st, 2000 to October 23, 2009. Based on the studying, we can obtain that the asymmetric Parameters is significantly positive which indicates the volatility transmission effect of daily returns about three countries we have mentioned above is asymmetric. Moreover, the negative effect overcomes the positive one. Therefore, we can say the capability of explaining the volatility transmission effect under the GIR-GARCH-M model is effective.