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Nidhal Mgadmi and Khemaies Bougatef
 
''Modeling volatility of the French stock market''
( 2017, Vol. 37 No.2 )
 
 
This paper aims to investigate the volatility of the French stock market using the CAC40 index on daily and monthly frequencies. For this purpose, we use linear and nonlinear ARCH models to check whether the magnitude of volatility can be explained by data frequency and cyclical nonlinearity. Our findings reveal that the EGARCH model outperforms the TGARCH model in capturing volatility for both daily and monthly data.
 
 
Keywords: GARCH models, market volatility, CAC40, stationarity, asymmetry, nonlinearity
JEL: G1 - (G11, G13, G13) Portfolios, Investments, Asset and Futures Pricing, Trading Volume & Bond Interest Rates
C5 - Econometric Modeling: General
 
Manuscript Received : Feb 21 2017 Manuscript Accepted : May 05 2017

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