Tag Archives: Volatility

Volatility Change and Abnormal Return around Rating Announcement (Published)

In this paper we test the effects of rating announcements on systematic risk and abnormal return in Tunisian stocks from 1997 to 2010. We find effects on volatility, risk, and abnormal return around announcements dates indicating that rating agencies provide new information to the market. All types of rating announcements (upgrades/downgrades, reviews and outlook reports), whether positive or negative, have a significant impact on risk and stock price.

Keywords: Abnormal Returns, Event Study, Rating, Volatility


This work applied Generalized Autoregressive Conditional Heteroskedasticity (GARCH) approach to modelling volatility in Rwanda Exchange rate returns. The Autoregressive (AR) model with GARCH errors was fitted to the daily exchange rate returns using Quasi-Maximum Likelihood Estimation (Q-MLE) method to get the current volatility. Asymptotic consistency and asymptotic normality of estimated parameters were given. Akaike Information criterion was used for appropriate GARCH model selection while Jarque Bera test used for normality testing revealed that both returns and residuals have fat tails behaviour. It was shown that the estimated model fits Rwanda exchange rate returns data well.

Keywords: Exchange Rate, GARCH model, Model, Quasi Maximum Likelihood, Volatility

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