Searching for periods of volatility: A study of the behavior of volatility in Thai stocks

The Roles of Investor Sentiment in Malaysian Stock Market

“…The CUSUM test detects systematic changes in the regression coefficients, while the CUSUMSQ detects sudden departures from the constancy of regression coefficients (Yin & Hamori, 2011). The calculation for CUSUM (W r ) and CUSUMSQ (S r ) are as in Equation 4 (Bos, Ding, & Fetherston, 1998). The null hypothesis of constancy of variables relationships over time is examined by detecting differences among β S ; H 0 , 1 ... Brown et al, 1975) with standard significance level (Bos et al, 1998).…”

Long memory and level shifts in REITs returns and volatility

“…Spurious long memory effect might be caused by shifts in variance (see for example, Bailey and Chung (1996), Bos, Ding, and Fetherston (1998), and Lobato and Savin (1998)). For example, Lobato and Savin (1998) have empirically tested whether the long memory effect in volatility is a spurious effect due to structural changes in variance.…”

Fractional integration in the equity markets of MENA region

“…Spurious long memory effect might be caused by shifts in variance. Aggarwal et al (1999), Bailey and Chung (1996) and Bos et al (1998) find that emerging market volatility is marked by several shifts. The large shifts in volatility seem to be related to important local political and economic events.…”

“…Spurious long memory effect might be caused by shifts in variance. Aggarwal et al (1999), Bailey and Chung (1996) and Bos et al (1998) find that emerging market volatility is marked by several shifts. For example, Aggarwal et al (1999) tried to detect discrete changes in variance and provide evidence showing that local events are more important in causing major shifts in emerging markets' volatility.…”