Preserved in Portico This version is not peer-reviewed
Modelling Market Volatility with Univariate GARCH Models: Evidence from Nasdaq-100
: Received: 24 September 2019 / Approved: 25 September 2019 / Online: 25 September 2019 (09:09:06 CEST)
This paper models and estimates the volatility of nonfinancial, innovative and hi-tech focused stock index, the Nasdaq-100, using univariate symmetric and asymmetric GARCH models. We employ GARCH, EGARCH and GJR-GARCH using daily data over the period January 4, 2000 through March 19, 2019. We find that the volatility shocks on the index returns are quite persistent. Furthermore, our findings show that the index has leverage effect, and the impact of shocks is asymmetric, whereby the impacts of negative shocks on volatility are higher than those of positive shocks of the same magnitude.
volatility; risk, garch models; nasdaq-100
Business, Economics and Management, Finance
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
We encourage comments and feedback from a broad range of readers. See criteria for comments and our Diversity statement.
* All users must log in before leaving a comment