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G5諸国における株価収益率ボラティリティの推計:GARCH モデルの応用


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Title: G5諸国における株価収益率ボラティリティの推計:GARCH モデルの応用
Authors: 吉岡, 真史
Issue Date: Mar-2010
Publisher: 長崎大学経済学会
Citation: 經營と經濟, vol.89(4), pp.1-16; 2010
Abstract: In September 2008,Lehman Brothers Inc. went bankrupt and the world financial market dropped heavily to a great turmoil. In main developed countries, including G 5 focused on at this paper, stock prices fell like a bungee jump. This paper employs a GARCH model to estimate volatilities of stock return in G 5 countries as its conditional variances and finds out a big jump of volatility in September and October 2008 except Germany. Among G 5,the U.K. was hit most heavily and next to the U.K., Japan was hurt to a sizable extent.
Keywords: Financial Turmoil / Sock Return / GARCH Model / Volatility / Lehman Shock / Conditional Variance / Long Memory
URI: http://hdl.handle.net/10069/23419
ISSN: 02869101
Type: Departmental Bulletin Paper
Text Version: publisher
Appears in Collections:Volume 89 No. 4

Citable URI : http://hdl.handle.net/10069/23419

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