Takeuchi-Nogimori Asuka
Journal of the Japan Statistical Society. Japanese issue, 42(1) 1-23, Sep, 2012 Peer-reviewed
For the Nikkei 225 stock index, some studies pointed that the volatility depends on the long memory. This paper is analyzed the volatility of the daily common stock returns, whether there is a long memory property or asymmetry using FIEGARCH and EGARCH models. The results of the analysis indicated that the volatility of the common stock has an autocorrelation and a weak asymmetry, but does not depend on the long memory process unlike the stock index. Moreover, the asymmetry parameters are more significant when the estimated period includes the financial crisis in 2009 than the period which is before the financial crisis. Next, the idiosyncratic risk which drowned off the affect of the market portfolio from the whole risk is analyzed using FIEGARCH and EGARCH models. The estimated results show that idiosyncratic volatility has an autocorrelation, but does not show the asymmetry.