Arbeitspapier
An empirical characterization of volatility dynamics in the DAX
This paper addresses stock market volatility in Germany between 1991 and 2018. Through a GARCH model with leverage term, an estimation of volatility in the DAX is provided. Such estimation is then plugged into a quantile regression model where potential economic determinants are analyzed. The results suggest that stock market volatility in Germany reached its historical peak between 2000 and 2004. Moreover, animal spirits play an important role across different quantiles of the volatility distribution, whereas the relevance of established risk factors proposed in the literature is limited to specific cases. Overall, the findings stress the importance of appropriate distributional assumptions when analyzing extreme financial events.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 167/2021
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Financial Forecasting and Simulation
- Thema
-
Asset prices
volatility
GARCH
quantile regression
DAX
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Virla, Leonardo Quero
- Ereignis
-
Veröffentlichung
- (wer)
-
Hochschule für Wirtschaft und Recht Berlin, Institute for International Political Economy (IPE)
- (wo)
-
Berlin
- (wann)
-
2021
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Virla, Leonardo Quero
- Hochschule für Wirtschaft und Recht Berlin, Institute for International Political Economy (IPE)
Entstanden
- 2021
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