Determinism and Non-linear Behaviour of Log-return and Conditional Volatility: Empirical Analysis for 26 Stock Markets

IF 0.3 Q4 ECONOMICS

South Asian Journal of Macroeconomics and Public Finance Pub Date : 2021-04-04 DOI:10.1177/2277978721995654

Zouhaier Dhifaoui

引用次数: 4

Abstract

Determinism and non-linear behaviour in log-return and conditional volatility time series of the stock market index is examined for twenty-six countries. For this goal, the principal statistical techniques used in this study are a robust estimator of correlation dimension, a normalized non-linear prediction error, and pseudo-periodic surrogate data method. The proposed approach indicates, first, the stochastic behaviour of all log-return time series. Second, the inability of local linear, ARMA, or state- dependent noise models (such as ARCH, GARCH, and EGARCH) to describe its structure for the frontier, emerging, and developed markets. The same stochastic behaviour of conditional volatility time series, estimated by the stochastic volatility model with moving average innovations, is detected. This finding proves the efficiency of the stochastic volatility model compared with some analysed types of GARCH models for all studied markets. JEL Classification: C12, C52, D53, E44

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对数收益与条件波动的确定性与非线性行为:26个股票市场的实证分析

研究了26个国家股票市场指数对数收益率和条件波动率时间序列的决定性和非线性行为。为此，本研究中使用的主要统计技术是相关维数的稳健估计、归一化非线性预测误差和伪周期代理数据方法。所提出的方法首先表明了所有对数回归时间序列的随机行为。其次，局部线性、ARMA或状态相关噪声模型（如ARCH、GARCH和EGARCH）无法描述其在前沿、新兴和发达市场的结构。利用具有移动平均创新的随机波动率模型估计了条件波动率时间序列的相同随机行为。这一发现证明了随机波动率模型与所有研究市场的某些分析类型的GARCH模型相比的有效性。JEL分类：C12、C52、D53、E44

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来源期刊

South Asian Journal of Macroeconomics and Public Finance ECONOMICS-

CiteScore

2.10

自引率

11.10%

发文量

期刊介绍： The purpose of the Journal is to publish (in English language) peer-reviewed articles, reviews and scholarly comments on issues relating to contemporary global macroeconomics and public finance by which is understood: The Journal is for all professionals concerned with contemporary Macroeconomics and Public Finance and is a forum for all views on related subjects. The Editorial Board welcomes articles of current interest on research and application on the areas mentioned above. The Journal will be international in the sense that it seeks research papers from authors with an international reputation and articles that are of interest to an international audience. In pursuit of the above, the journal shall: a. draw on and include high quality work from the international community of scholars including those in the major countries of Asia, Europe, Asia Pacific, the United States, other parts of the Americas and elsewhere with due representation for considerations of the readership. The Journal shall include work representing the major areas of interest in contemporary research on Macroeconomics and Public Finance and on a wide range of issues covering macro- economics, tax and fiscal issues, banking and finance, international trade, labour economics, computational and mathematical methods, etc. The Journal would particularly engage papers on pure and applied economic theory and econometric methods. b. avoid bias in favour of the interests of particular schools or directions of research or particular political or narrow disciplinary objectives to the exclusion of others. c. ensure that articles are written in a terminology and style which makes them intelligible, not merely within the context of a particular discipline or abstract mode, but across the domain of relevant disciplines.