Journal of Engineering and Scientific Research
Vol 1, No 1: (June, 2019)

Modeling Stock Return Data using Asymmetric Volatility Models : A Performance Comparison based on the Akaike Information Criterion and Schwarz Criterion

Setiawan, E (Unknown)
Herawati, N (Unknown)
Nisa, K (Unknown)



Article Info

Publish Date
01 Jun 2019

Abstract

The Generalized Autoregressive Conditional Heteroscedasticity (GARCH) modelhas been widely used in time series forecasting especially with asymmetricvolatility data. As the generalization of autoregressive conditionalheteroscedasticity model, GARCH is known to be more flexible to lag structures.Some enhancements of GARCH models were introduced in literatures, among themare Exponential GARCH (EGARCH), Threshold GARCH (TGARCH) andAsymmetric Power GARCH (APGARCH) models. This paper aims to compare theperformance of the three enhancements of the asymmetric volatility models bymeans of applying the three models to estimate real daily stock return volatilitydata. The presence of leverage effects in empirical series is investigated. Based onthe value of Akaike information and Schwarz criterions, the result showed that thebest forecasting model for daily stock return data is the APARCH model.Keywords: Volatility, GARCH, TGARCH, EGARCH, APARCH, AIC and SC.

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Journal Info

Abbrev

ojs

Publisher

Subject

Agriculture, Biological Sciences & Forestry Chemical Engineering, Chemistry & Bioengineering Electrical & Electronics Engineering Engineering Transportation

Description

JESR accepts contribution and submission for original as well as critical review manuscripts that focus on the field of engineering, sciences, and their interdisciplinary researches. The scopes are including but not limited to: Electrical and Telecommunication; Mechanical and Industrial; Geophysics; ...