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Stock Market Volatility and Deviations from Macroeconomic Fundamentals: Evidence from GARCH and GARCH-X Models

Stock Market Volatility and Deviations from Macroeconomic Fundamentals: Evidence from GARCH and GARCH-X Models
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Year:    1998

Author:    Apergis, Nicholas

Credit and Capital Markets – Kredit und Kapital, Vol. 31 (1998), Iss. 3 : pp. 400–412

Abstract

This paper investigates volatility in the US stock market and the effects of short-run deviations between stock prices and certain macroeconomic fundamentals over the period 1978: 1 1996: 12. The methodology followed is that of the GARCH and GARCH-X models. The results show that the GARCH-X model outperforms the standard GARCH model, while they indicate a significant effect of the short-run deviations on volatility. (JEL G10)

Journal Article Details

Publisher Name:    Global Science Press

Language:    Multiple languages

DOI:    https://doi.org/10.3790/ccm.31.3.400

Credit and Capital Markets – Kredit und Kapital, Vol. 31 (1998), Iss. 3 : pp. 400–412

Published online:    1998-03

AMS Subject Headings:    Duncker & Humblot

Copyright:    COPYRIGHT: © Global Science Press

Pages:    13

Author Details

Apergis, Nicholas

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Section Title Page Action Price
Nicholas Apergis: Stock Market Volatility and Deviations\rfrom Macroeconomic Fundamentals: Evidence\rfrom GARCH and GARCH-X Models 400
I. Introduction 400
II. The methodology of the GARCH and GARCH-X models 403
III. Empirical analysis 404
1. Data 404
2. Integration and cointegration analysis 404
3. A mean equation for stock prices 406
4. Statistical analysis of stock market data 407
5. GARCH and GARCH-X estimates 407
IV. Concluding remarks 409
References 410
Summary: Stock Market Volatility and Deviations from Macroeconomic Fundamentals: Evidence from GARCH and GARCH-X Models 411
Zusammenfassung: Aktienmarkt-Volatilität und Abweichungen von den makroökonomischen Fundamentalfaktoren: Beweise auf der Grundlage der Modelle GARCH und GARCH-X 412
Résumé: La volatilité du marché boursier et les déviations des paramètres fondamentaux macroéconomiques: Résultats des modèles de GARCH et X-GARCH 412