The Estimation of GARCH-types of Models with Multiple Change Points in Japanese Stock Returns

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Other Title
  • 日本の株式収益率に対する構造変化を伴うボラティリティ変動モデルによる分析
  • ニホン ノ カブシキ シュウエキリツ ニ タイスル コウゾウ ヘンカ オ トモナウ ボラティリティ ヘンドウ モデル ニ ヨル ブンセキ

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Abstract

In recent years there has been considerable development in estimating and testing regime points in economic and financial time series. In this paper we investigate the regime points in Japanese stock returns based on the GARCH types of models. March 4, 1999, April 14, 2000, and May 6, 2004 were estimated as the main change points though the results were different depending on the model used for the analysis. We found the following facts: (1) the persistence of shocks in volatility was relatively small from March 5, 1999 to April 14, 2000; (2) the unconditional variances of stock returns were greatly decreased after May 6, 2004; (3) the brand replacement in Nikkei 225 on April 24, 2004 caused the changes in serial correlations in Nikkei 225 index.

Journal

  • 経済研究

    経済研究 57 (1), 58-71, 2006-01-25

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