Version 1
: Received: 26 September 2023 / Approved: 27 September 2023 / Online: 28 September 2023 (09:32:18 CEST)
How to cite:
Suleymanov, E.; Gubadli, M.; Yagubov, U. Test of Volatile Behaviors with the Asymmetric Stochastic Volatility Model: an Implementation on nasdaq-100. Preprints2023, 2023091920. https://doi.org/10.20944/preprints202309.1920.v1
Suleymanov, E.; Gubadli, M.; Yagubov, U. Test of Volatile Behaviors with the Asymmetric Stochastic Volatility Model: an Implementation on nasdaq-100. Preprints 2023, 2023091920. https://doi.org/10.20944/preprints202309.1920.v1
Suleymanov, E.; Gubadli, M.; Yagubov, U. Test of Volatile Behaviors with the Asymmetric Stochastic Volatility Model: an Implementation on nasdaq-100. Preprints2023, 2023091920. https://doi.org/10.20944/preprints202309.1920.v1
APA Style
Suleymanov, E., Gubadli, M., & Yagubov, U. (2023). Test of Volatile Behaviors with the Asymmetric Stochastic Volatility Model: an Implementation on nasdaq-100. Preprints. https://doi.org/10.20944/preprints202309.1920.v1
Chicago/Turabian Style
Suleymanov, E., Magsud Gubadli and Ulvi Yagubov. 2023 "Test of Volatile Behaviors with the Asymmetric Stochastic Volatility Model: an Implementation on nasdaq-100" Preprints. https://doi.org/10.20944/preprints202309.1920.v1
Abstract
ABSTRACT
The present study aimed to investigate the presence of asymmetric stochastic volatility and leverage effects within the Nasdaq-100 index. This index is widely regarded as an important indicator for investors. We focused on the nine leading stocks within the index, which are highly popular and hold significant weight in the investment world. These stocks are Netflix, PayPal, Google, Intel, Microsoft, Amazon, Tesla, Apple, and Meta. The study covered the period between 03/01/2017 and 30/01/2023, and we employed the Eviews and WinBUGS applications to conduct the analysis.
We began by calculating the logarithmic difference to obtain the return series. We then performed a sample test with 100,000 iterations, excluding the first 10,000 samples to eliminate the initial bias of the coefficients. This left us with 90,000 samples for analysis. Using the results of the asymmetric stochastic volatility model, we evaluated both the Nasdaq-100 index as a whole and the volatility persistence, predictability, and correlation levels of individual stocks. This allowed us to evaluate the ability of individual stocks to represent the characteristics of the Nasdaq-100 index.
Our findings revealed a dense clustering of volatility, both for the Nasdaq-100 index and the nine individual stocks. We observed that this volatility is continuous but has a predictable impact on variability. Moreover, with the exception of Intel, all the stocks in the model exhibited both leverage effects and the presence of asymmetric relationships, as did the Nasdaq-100 index as a whole. Overall, our results show that the characteristics of stocks in the model are similar to the volatility characteristic of the Nasdaq-100 index and have the ability to represent it.
Keywords
Nasdaq-100; asymmetrical stochastic volatility; leverage effect; persistence of volatility
Subject
Business, Economics and Management, Economics
Copyright:
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.
