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

• Main Authors: Bos, Theodore, DING, David K., Fetherston, Thomas A.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 1998
• Subjects: Thailand; CUSUM; CUSUM of squares; Asian Studies; Finance and Financial Management; Portfolio and Security Analysis
• 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
• Institution: Singapore Management University

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...