ABSTRACT
The paper attempts to examine the behavior of the Taiwan and South Korean stock indexes. Using a GARCH (1,1) model the persistence of shocks to volatility seems very high as expected. The paper also examines the asymmetric effect of good versus bad news on volatility of both return series using the Exponential GARCH and GJR GARCH models. The results show significant difference between the effects of good versus bad news. The results have important implications for investors and portfolio managers.
Keywords
Volatility, Time Series, GARCH.