Impact of Anti-crisis Measures on the Volatility of the Stock Market Stress Index in the Euro Zone

摘要: Several studies have attempted to measure the stress in financial markets. But despite diversity of their work no unanimous result seems founded. This highlights importance statistical measurement crises theory. Indeed, our aim objective is study issues and challenges that rescue funds meet enhance stability widely affected by institutions fragility. For this matter, a anti-crisis measures impact on stock market volatility Euro Zone, we apply ARCH/GARCH/EGARCH models analyze linear asymmetric stress. developed, using some representative factors, Stock Market Stress Index (SMSI) based standard portfolio Our findings show that, SMSI represented an AR (3)-EGARCH (1, 3) which shown its ability capture past future events destabilizing market. However, suggest only had significant negative Index, leaving way open, one side, thorough effectiveness usefulness European fund created save other long-sought challenge without reach. Thus, chances Financial Stability Facility (EFSF) Zone seem modest current conditions.