期刊名称：International Journal of Academic Research in Business and Social Sciences
电子版ISSN：2222-6990
出版年度：2012
卷号：2
期号：4
页码：77-82
出版社：Human Resource Management Academic Research Society
摘要：The objective of this paper is to examine the predictability of the forecast volatilities for the extreme stock price declines in the Japanese stock markets. Our empirical tests reveal that the forecast volatilities from the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model and the GARCH-in-mean model statistically significantly predict the extreme stock price declines in the Japanese stock markets. Further, we also clarify that the forecast power of the volatilities from the GARCH-in-mean model is stronger than that from the standard GARCH model.
关键词：Downside risk; Stock return volatility; Probit model
