ASYMMETRIC CONDITIONAL VOLATILITY MODELS: COMPARISON OF CZECH AND AMERICAN STOCK MARKET

This paper is focused on empirical modeling of the volatility of equity markets. In the text there are empirically tested the effects of positive and negative news on the volatility of the Czech and American stock markets by asymmetric conditional volatility models. The analysis is conducted to compare the behavior of investigated markets both before and during the global financial crisis in 2008-09. In both markets, it was found that negative news has a greater impact on volatility than positive information. In addition, there were differences in the behavior of both markets in the pre-crisis period and during the financial crisis period in 2008-2009.