Developing the ARCH family model to evaluate the impact of inflation on the S&P 500 return volatility
This study investigates to apply the ARCH family model to assess the impact of inflation on S&P 500 stock return volatility using daily data from 2004 to 2014 in the U.S. it is found that no evidence shows that the inflation has the predictive power for stock return volatility in the U.S. this f...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2014
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| Online Access: | https://eprints.nottingham.ac.uk/27484/ |
| _version_ | 1848793380086087680 |
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| author | Xie, Zhao |
| author_facet | Xie, Zhao |
| author_sort | Xie, Zhao |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | This study investigates to apply the ARCH family model to assess the impact of inflation on S&P 500 stock return volatility using daily data from 2004 to 2014 in the U.S. it is found that no evidence shows that the inflation has the predictive power for stock return volatility in the U.S. this finding is consist with Davis and Kutan (2003) results for the U.S. market, but disagree with Schewert (1989) who find weak effect form inflation to the stock market volatility in U.S. In addition, this paper finds the GARCH model under the Generalized error distribution has more power when modeling the conditional volatility than the traditional normal distribution assumption. Moreover, the impact of asymmetric shocks exists in the S&P 500 conditional return volatility.
Key words: stock return volatility, ARMA, T-GARCH, GED, impact of inflation. |
| first_indexed | 2025-11-14T18:59:22Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-27484 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:59:22Z |
| publishDate | 2014 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-274842022-04-02T04:30:14Z https://eprints.nottingham.ac.uk/27484/ Developing the ARCH family model to evaluate the impact of inflation on the S&P 500 return volatility Xie, Zhao This study investigates to apply the ARCH family model to assess the impact of inflation on S&P 500 stock return volatility using daily data from 2004 to 2014 in the U.S. it is found that no evidence shows that the inflation has the predictive power for stock return volatility in the U.S. this finding is consist with Davis and Kutan (2003) results for the U.S. market, but disagree with Schewert (1989) who find weak effect form inflation to the stock market volatility in U.S. In addition, this paper finds the GARCH model under the Generalized error distribution has more power when modeling the conditional volatility than the traditional normal distribution assumption. Moreover, the impact of asymmetric shocks exists in the S&P 500 conditional return volatility. Key words: stock return volatility, ARMA, T-GARCH, GED, impact of inflation. 2014 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/27484/1/Dissertation_%28Zhao_Xie_4214433%29.pdf Xie, Zhao (2014) Developing the ARCH family model to evaluate the impact of inflation on the S&P 500 return volatility. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | Xie, Zhao Developing the ARCH family model to evaluate the impact of inflation on the S&P 500 return volatility |
| title | Developing the ARCH family model to evaluate the impact of inflation on the S&P 500 return volatility |
| title_full | Developing the ARCH family model to evaluate the impact of inflation on the S&P 500 return volatility |
| title_fullStr | Developing the ARCH family model to evaluate the impact of inflation on the S&P 500 return volatility |
| title_full_unstemmed | Developing the ARCH family model to evaluate the impact of inflation on the S&P 500 return volatility |
| title_short | Developing the ARCH family model to evaluate the impact of inflation on the S&P 500 return volatility |
| title_sort | developing the arch family model to evaluate the impact of inflation on the s&p 500 return volatility |
| url | https://eprints.nottingham.ac.uk/27484/ |