TITLE:
How Are Structural Breaks Related to Stock Return Volatility Persistence? Evidence from China and Japan
AUTHORS:
Chikashi Tsuji
KEYWORDS:
GARCH Model, Equity Return Volatility Persistence, Structural Break, Struc-tural Break Dummies
JOURNAL NAME:
Modern Economy,
Vol.9 No.10,
October
18,
2018
ABSTRACT: This study empirically examines the effects of
structural breaks on equity return volatility persistence by using Chinese and
Japanese equity index return data. Applying standard GARCH models and two kinds
of structural break dummy variables, we derive the following findings. First,
we reveal that for both Chinese and Japanese equity index returns, the values
of GARCH parameters of standard GARCH models decline when the first structural
break dummies are incorporated. Second, our analyses further clarify that for
both Chinese and Japanese equity index returns, the values of GARCH parameters
of standard GARCH models again decline when different kinds of structural break
dummies are incorporated.