TY  - JOUR
TI  - Forecasting the conditional heteroscedasticity of stock returns using asymmetric models based on empirical evidence from Eastern European countries: Will there be an impact on other industries?
AU  - ELIZABETH, COKER-FARRELL
AU  - ZULFIQAR ALI, IMRAN
AU  - CRISTI, SPULBAR
AU  - ABDULLAH, EJAZ
AU  - RAMONA, BIRAU
AU  - RADU CĂTĂLIN, CRIVEANU
T2  - Industria Textila
AB  - This empirical study investigates the leverage effect in six Eastern European countries under normal and non-normal
distribution densities for the sample period from January 2020 to August 2020. We find three countries, Bulgaria, Czech
Republic and Russia which are subject to ARCH effect whereas Poland, Romania and Hungary do not exhibit ARCH
effect in daily stock returns. Further, our study finds leverage effect, where past bad news affects is asymmetrical, past
negative returns cause more volatility in current stock returns as compared to past positive returns, in three Eastern
European countries. Based on the AIC and BIC model selection criteria we find that the non-normal student t-distribution
and GED produce reliable estimates for Bulgaria, Czech Republic and Poland, respectively. The autocorrelation function
Q1 statistic confirms the insignificance of autocorrelation in residuals of TGARCH model. The impact of stock market
dynamics on other industries, such as pharmaceutical industry, textile and clothing industry, automotive industry is
significant, especially in the conditions of COVID-19 pandemic.
DO  - http://doi.org/10.35530/IT.072.03.202042
VL  - 72
IS  - 3
SP  - 324
EP  - 330
LA  - English
SN  - 1222-5347
UR  - http://www.revistaindustriatextila.ro/images/2021/3/13%20ELIZABETH%20COKER-FARRELL%20Industria%20Textila%203_2021.pdf
ER  -