Investigating Volatility Dynamics of the Portugal Stock Market using FIGARCH Models
The act of modeling and forecasting stock market volatility has become essential to risk management practice; it has become one of the most prevalent subjects in financial econometrics and has been mainly and continuously used in the valuation of financial assets and the Value at Risk, as well as th...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
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Dunarea de Jos University of Galati
2023-12-01
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| Series: | Annals of Dunarea de Jos University. Fascicle I : Economics and Applied Informatics |
| Subjects: | |
| Online Access: | http://eia.feaa.ugal.ro/images/eia/2023_3/Kumar_Meher_Birau_Anand_Simion.pdf |
| _version_ | 1797361057028636672 |
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| author | Santosh KUMAR Bharat Kumar MEHER Ramona BIRAU Abhishek ANAND Mircea Laurentiu SIMION |
| author_facet | Santosh KUMAR Bharat Kumar MEHER Ramona BIRAU Abhishek ANAND Mircea Laurentiu SIMION |
| author_sort | Santosh KUMAR |
| collection | DOAJ |
| description | The act of modeling and forecasting stock market volatility has become essential to risk management practice; it has become one of the most prevalent subjects in financial econometrics and has been mainly and continuously used in the valuation of financial assets and the Value at Risk, as well as the pricing of options and derivatives. The purpose of this paper is to contrast the FIGARCH model in the prospect of establishing the best algorithm to forecast PSI 20 index (PSI stands for Portuguese Stock Index). This study analyzed PSI 20 index to identify the behavior of the Portugal stock market in terms of volatility and then evaluated the forecasting ability of GARCH family models using Portugal PSI 20 index sample data for the long period from May 2010 - August 2023 (which is more than 13 years in daily data). There are 3396 daily observations. The results indicated that the PSI 20 index’s volatility is asymmetric. The present empirical investigation also seeks to illustrate the potential for investment returns as well as the associated risk. Our findings may have implications for risk management in Portugal, as well as a deeper understanding of the PSI-20 Portugal stock market volatility dynamics, given the scarcity of prior such studies. |
| first_indexed | 2024-03-08T15:48:28Z |
| format | Article |
| id | doaj.art-1b3ae0343e334864b701daa7ccea8106 |
| institution | Directory Open Access Journal |
| issn | 1584-0409 |
| language | English |
| last_indexed | 2024-03-08T15:48:28Z |
| publishDate | 2023-12-01 |
| publisher | Dunarea de Jos University of Galati |
| record_format | Article |
| series | Annals of Dunarea de Jos University. Fascicle I : Economics and Applied Informatics |
| spelling | doaj.art-1b3ae0343e334864b701daa7ccea81062024-01-09T08:45:42ZengDunarea de Jos University of GalatiAnnals of Dunarea de Jos University. Fascicle I : Economics and Applied Informatics1584-04092023-12-01293394510.35219/eai15840409360Investigating Volatility Dynamics of the Portugal Stock Market using FIGARCH ModelsSantosh KUMAR0Bharat Kumar MEHER1Ramona BIRAU2Abhishek ANAND3Mircea Laurentiu SIMION4Department of Commerce, D. S. College, Katihar, Bihar, IndiaPG Department of Commerce, Purnea University, Purnia, Bihar, IndiaFaculty of Economic Science, University Constantin Brancusi, Tg-Jiu, RomaniaPG Department of Economics, Purnea University, Purnia, Bihar, IndiaUniversity of Craiova, Doctoral School of Economic Sciences, Craiova, RomaniaThe act of modeling and forecasting stock market volatility has become essential to risk management practice; it has become one of the most prevalent subjects in financial econometrics and has been mainly and continuously used in the valuation of financial assets and the Value at Risk, as well as the pricing of options and derivatives. The purpose of this paper is to contrast the FIGARCH model in the prospect of establishing the best algorithm to forecast PSI 20 index (PSI stands for Portuguese Stock Index). This study analyzed PSI 20 index to identify the behavior of the Portugal stock market in terms of volatility and then evaluated the forecasting ability of GARCH family models using Portugal PSI 20 index sample data for the long period from May 2010 - August 2023 (which is more than 13 years in daily data). There are 3396 daily observations. The results indicated that the PSI 20 index’s volatility is asymmetric. The present empirical investigation also seeks to illustrate the potential for investment returns as well as the associated risk. Our findings may have implications for risk management in Portugal, as well as a deeper understanding of the PSI-20 Portugal stock market volatility dynamics, given the scarcity of prior such studies.http://eia.feaa.ugal.ro/images/eia/2023_3/Kumar_Meher_Birau_Anand_Simion.pdfvolatility spilloversfigarch modelsuncertaintyriskstock indexrisk managementinvestment |
| spellingShingle | Santosh KUMAR Bharat Kumar MEHER Ramona BIRAU Abhishek ANAND Mircea Laurentiu SIMION Investigating Volatility Dynamics of the Portugal Stock Market using FIGARCH Models Annals of Dunarea de Jos University. Fascicle I : Economics and Applied Informatics volatility spillovers figarch models uncertainty risk stock index risk management investment |
| title | Investigating Volatility Dynamics of the Portugal Stock Market using FIGARCH Models |
| title_full | Investigating Volatility Dynamics of the Portugal Stock Market using FIGARCH Models |
| title_fullStr | Investigating Volatility Dynamics of the Portugal Stock Market using FIGARCH Models |
| title_full_unstemmed | Investigating Volatility Dynamics of the Portugal Stock Market using FIGARCH Models |
| title_short | Investigating Volatility Dynamics of the Portugal Stock Market using FIGARCH Models |
| title_sort | investigating volatility dynamics of the portugal stock market using figarch models |
| topic | volatility spillovers figarch models uncertainty risk stock index risk management investment |
| url | http://eia.feaa.ugal.ro/images/eia/2023_3/Kumar_Meher_Birau_Anand_Simion.pdf |
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