Financial assets’ risk is considered as heteroskedastic, and is generally modelled with GARCH models. However, this risk is perceived in the same manner, only external events change, such as returns and historical risk. The way these events are treated by investors, is assumed static. Some scholars explain that risk perception is subject to structural breaks, which are not taken under consideration in GARCH models. For this reason, this paper aims to develop the switching regime GARCH model SWGARCH. Results clearly show that the SWGARCH can capture the risk dynamics of the studied indexes better than classical models.
| Published in | Journal of Finance and Accounting (Volume 2, Issue 3) |
| DOI | 10.11648/j.jfa.20140203.13 |
| Page(s) | 48-52 |
| Creative Commons |
This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited. |
| Copyright |
Copyright © The Author(s), 2014. Published by Science Publishing Group |
Switching Regime, GARCH, Risk Perception, Index
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APA Style
Houda Litimi, Ahmed BenSaïda. (2014). Switching Regime in Investors’ Risk Perception. Journal of Finance and Accounting, 2(3), 48-52. https://doi.org/10.11648/j.jfa.20140203.13
ACS Style
Houda Litimi; Ahmed BenSaïda. Switching Regime in Investors’ Risk Perception. J. Finance Account. 2014, 2(3), 48-52. doi: 10.11648/j.jfa.20140203.13
AMA Style
Houda Litimi, Ahmed BenSaïda. Switching Regime in Investors’ Risk Perception. J Finance Account. 2014;2(3):48-52. doi: 10.11648/j.jfa.20140203.13
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Download@article{10.11648/j.jfa.20140203.13,
author = {Houda Litimi and Ahmed BenSaïda},
title = {Switching Regime in Investors’ Risk Perception},
journal = {Journal of Finance and Accounting},
volume = {2},
number = {3},
pages = {48-52},
doi = {10.11648/j.jfa.20140203.13},
url = {https://doi.org/10.11648/j.jfa.20140203.13},
eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.jfa.20140203.13},
abstract = {Financial assets’ risk is considered as heteroskedastic, and is generally modelled with GARCH models. However, this risk is perceived in the same manner, only external events change, such as returns and historical risk. The way these events are treated by investors, is assumed static. Some scholars explain that risk perception is subject to structural breaks, which are not taken under consideration in GARCH models. For this reason, this paper aims to develop the switching regime GARCH model SWGARCH. Results clearly show that the SWGARCH can capture the risk dynamics of the studied indexes better than classical models.},
year = {2014}
}
TY - JOUR T1 - Switching Regime in Investors’ Risk Perception AU - Houda Litimi AU - Ahmed BenSaïda Y1 - 2014/04/30 PY - 2014 N1 - https://doi.org/10.11648/j.jfa.20140203.13 DO - 10.11648/j.jfa.20140203.13 T2 - Journal of Finance and Accounting JF - Journal of Finance and Accounting JO - Journal of Finance and Accounting SP - 48 EP - 52 PB - Science Publishing Group SN - 2330-7323 UR - https://doi.org/10.11648/j.jfa.20140203.13 AB - Financial assets’ risk is considered as heteroskedastic, and is generally modelled with GARCH models. However, this risk is perceived in the same manner, only external events change, such as returns and historical risk. The way these events are treated by investors, is assumed static. Some scholars explain that risk perception is subject to structural breaks, which are not taken under consideration in GARCH models. For this reason, this paper aims to develop the switching regime GARCH model SWGARCH. Results clearly show that the SWGARCH can capture the risk dynamics of the studied indexes better than classical models. VL - 2 IS - 3 ER -
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