Searching for Periods of Volatility: A Study of the Behavior of Volatility in Thai Stocks

This paper improves the precision of the useful new procedure of Inclán and Tiao (1994) that estimates variance shift points in a time series. It accomplishes this by incorporating the evidence of Bos and Fetherston (1992) that the linear Brown, Durbin, and Evans (Brown et al., 1975) critical CUSUM...

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Main Authors: Bos, Theodore, DING, David K., Fetherston, Thomas A.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 1998
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Online Access:https://ink.library.smu.edu.sg/lkcsb_research/1166
https://ink.library.smu.edu.sg/context/lkcsb_research/article/2165/viewcontent/1_s2.0_S0927538X98000146_main.pdf
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spelling sg-smu-ink.lkcsb_research-21652022-01-03T08:51:54Z Searching for Periods of Volatility: A Study of the Behavior of Volatility in Thai Stocks Bos, Theodore DING, David K. Fetherston, Thomas A. This paper improves the precision of the useful new procedure of Inclán and Tiao (1994) that estimates variance shift points in a time series. It accomplishes this by incorporating the evidence of Bos and Fetherston (1992) that the linear Brown, Durbin, and Evans (Brown et al., 1975) critical CUSUM of squares boundaries [used by Inclán and Tiao] produce an understatement of instability at the data end points. This is solved by Tanizaki (1995) which, like Bos and Fetherston (1992) and Bos and Fetherston (1995), uses the fact that the CUSUM of squares statistic follows a beta distribution. This study uses the Inclán and Tiao procedure with the nonlinear Tanizaki CUSUM of squares boundaries to research volatility in Thai stock returns. The paper's empirical results show that, on any trading day, there is a 1.16% chance that a Thai stock will experience a shift in volatility. The results also show that this incidence is not random, and, hence, it is possible to predict the incidence of shifts. Though the results here cannot answer the question of how to do this, we suspect that movements in average return have a role to play. We propose that the culprit may be changes in the average return, and therefore that the estimated volatility shift points may be spurious. 1998-08-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/lkcsb_research/1166 info:doi/10.1016/s0927-538x(98)00014-6 https://ink.library.smu.edu.sg/context/lkcsb_research/article/2165/viewcontent/1_s2.0_S0927538X98000146_main.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Thailand CUSUM CUSUM of squares Asian Studies Finance and Financial Management Portfolio and Security Analysis
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Thailand
CUSUM
CUSUM of squares
Asian Studies
Finance and Financial Management
Portfolio and Security Analysis
spellingShingle Thailand
CUSUM
CUSUM of squares
Asian Studies
Finance and Financial Management
Portfolio and Security Analysis
Bos, Theodore
DING, David K.
Fetherston, Thomas A.
Searching for Periods of Volatility: A Study of the Behavior of Volatility in Thai Stocks
description This paper improves the precision of the useful new procedure of Inclán and Tiao (1994) that estimates variance shift points in a time series. It accomplishes this by incorporating the evidence of Bos and Fetherston (1992) that the linear Brown, Durbin, and Evans (Brown et al., 1975) critical CUSUM of squares boundaries [used by Inclán and Tiao] produce an understatement of instability at the data end points. This is solved by Tanizaki (1995) which, like Bos and Fetherston (1992) and Bos and Fetherston (1995), uses the fact that the CUSUM of squares statistic follows a beta distribution. This study uses the Inclán and Tiao procedure with the nonlinear Tanizaki CUSUM of squares boundaries to research volatility in Thai stock returns. The paper's empirical results show that, on any trading day, there is a 1.16% chance that a Thai stock will experience a shift in volatility. The results also show that this incidence is not random, and, hence, it is possible to predict the incidence of shifts. Though the results here cannot answer the question of how to do this, we suspect that movements in average return have a role to play. We propose that the culprit may be changes in the average return, and therefore that the estimated volatility shift points may be spurious.
format text
author Bos, Theodore
DING, David K.
Fetherston, Thomas A.
author_facet Bos, Theodore
DING, David K.
Fetherston, Thomas A.
author_sort Bos, Theodore
title Searching for Periods of Volatility: A Study of the Behavior of Volatility in Thai Stocks
title_short Searching for Periods of Volatility: A Study of the Behavior of Volatility in Thai Stocks
title_full Searching for Periods of Volatility: A Study of the Behavior of Volatility in Thai Stocks
title_fullStr Searching for Periods of Volatility: A Study of the Behavior of Volatility in Thai Stocks
title_full_unstemmed Searching for Periods of Volatility: A Study of the Behavior of Volatility in Thai Stocks
title_sort searching for periods of volatility: a study of the behavior of volatility in thai stocks
publisher Institutional Knowledge at Singapore Management University
publishDate 1998
url https://ink.library.smu.edu.sg/lkcsb_research/1166
https://ink.library.smu.edu.sg/context/lkcsb_research/article/2165/viewcontent/1_s2.0_S0927538X98000146_main.pdf
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