Research Article
The Volatility of ASIAN Stock Exchange Post Monetary Crisis: Utilizing ARCH Family Model
@INPROCEEDINGS{10.4108/eai.3-10-2020.2306612, author={Ahmad Juliana and Roni Padliansyah and Riska Yulianti and Nurul Hidayat}, title={The Volatility of ASIAN Stock Exchange Post Monetary Crisis: Utilizing ARCH Family Model}, proceedings={Proceedings of the 3rd Beehive International Social Innovation Conference, BISIC 2020, 3-4 October 2020, Bengkulu, Indonesia}, publisher={EAI}, proceedings_a={BISIC}, year={2021}, month={5}, keywords={volatility; arch model; symmetric garch; asymmetric garch}, doi={10.4108/eai.3-10-2020.2306612} }- Ahmad Juliana
Roni Padliansyah
Riska Yulianti
Nurul Hidayat
Year: 2021
The Volatility of ASIAN Stock Exchange Post Monetary Crisis: Utilizing ARCH Family Model
BISIC
EAI
DOI: 10.4108/eai.3-10-2020.2306612
Abstract
This study examines heteroscedasticity in the index data of 5 countries, including Malaysia, China, Indonesia, Singapore and Japan. The study also determines the level of volatility that can describe future returns and risks that affect investment behavior. Additionally, this research analyzes whether post-crisis economic growth can affect a countries volatility level. The ARCH model will describe volatility in 5 indexes, while the Symmetric and Asymmetric GARCH methods capture negative shocks affecting the level of volatility. The results showed significant ARCH and GARCH effects, such that market fluctuations or the level of volatility that occurs after a crisis is quite large and shocks have an influence. However, the GARCH-M model (1.1) for the four sample countries did not establish any significant risk premium. Different events cause significant risk premiums are in Singapore. Asymmetric modeling in both EGARCH (1.1) and TGARCH (1.1) models showed insignificant results in all 5 sample countries. This implies that negative shocks do not affect investors' responses than positive ones, which influences the market's volatility level. The study modeled volatility in 4 Asian countries and Indonesia using the ARCH family approach to increase the robustness of capturing ASIAN stock exchanges' uncertainty.
