| dc.description.abstract | This study empirically investigates the volatility pattern of the Tokyo stock
exchange based on time series data which consists of monthly closing prices of the
Nekkei Index for the seventeen years from 2000 to 2017. The present study has
employed various autoregressive conditional heteroscedasticity (ARCH) family
models such as generalized autoregressive conditional heteroscedasticity
(GARCH), exponential GARCH (EGARCH), and threshold ARCH (TARCH) to
appraise assorted nature of volatility patterns in the Tokyo stock market. Our
findings suggest that the stock index fluctuated over the period. The negative
skewness exhibits that return is negatively skewed. The negative skewness
provides that the returns distributions of the market have a higher probability of
providing a negative return. Jarque-Bera test examines the normality of return. It
outlines that return is not normally distributed in the Tokyo stock exchange. Based
on the unit root test, it has been observed that the index variable is stationary at the
level. Moreover, the ARCH effect, GARCH effect, EGARCH, and PARCH effect
are based on volatility models. | en_US |
