search query: @indexterm ARCH MODELS / total: 8
reference: 5 / 8
| Author: | Elyasiani, E. Mansur, I. |
| Title: | Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model. |
| Journal: | Journal of Banking and Finance
1998 : MAY, VOL. 22:5, p. 535-563 |
| Index terms: | SHARES BANKS INTEREST RATES ARCH MODELS |
| Language: | eng |
| Abstract: | The objective of this article is to employ the generalized autoregressive conditionally heteroskedastic in the mean (GARCH-M) methodology to investigate the effect of interest rate and its volatility on the bank stock return generation process. The model used here allows for shifts in the volatility equation in response to the changes in monetary policy regime in 1979 and 1982 to be estimated.ARCH, GARCH, and volatility feed back effects are found to be significant. Interest rate and interest rate volatility are found to directly impact the first and the second moments of the bank stock returns distribution, respectively. The degree of persistence in shocks is substantial for all the three bank portfolios and sensitive to the nature of the bank portfolio and the prevailing monetary policy regime. |
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