Modelling the Volatility of Stock Indices and Foreign Exchange Rates in BRICS : Empirical Evidence from GARCH Models
(Pages 142-152)Zacharias Bragoudakis1,* and Rafail Voulgarakis2
1Bank of Greece.
2University of Piraeus.
DOI: https://doi.org/10.55365/1923.x2021.19.14
Abstract:
This paper models and estimates the volatility of stock indices and foreign exchange rates in BRICS, using univariate GARCH models. The data cover the period 13/05/1999-22/11/2018. The conditional variance is modeled with a GARCH (1,1), IGARCH, EGARCH and GJR-GARCH. The results suggest that the GJR-GARCH model outperforms the other GARCH family models and provides a clear direction on how to critically estimate volatility. Our findings also indicate the existence of persistency in the indices returns and in the forex rates returns. Moreover, both financial assets have a leverage effect, while the impact of financial shocks is asymmetric.
Keywords:
Volatility, GARCH, BRICS, Financial Markets.
JEL:
C5, C13, C53, C55, C58.
How to Cite:
Zacharias Bragoudakis and Rafail Voulgarakis. Modelling the Volatility of Stock Indices and Foreign Exchange Rates in BRICS : Empirical Evidence from GARCH Models. [ref]: vol.19.2021. available at: https://refpress.org/ref-vol19-a14/
Licensee REF Press This is an open access article licensed under the terms of the Creative Commons Attribution Non-Commercial License (http://creativecommons.org/licenses/by-nc/3.0/) which permits unrestricted, non-commercial use, distribution and reproduction in any medium, provided the work is properly cited.