Scharth, Marcel; Medeiros, Marcelo C. - 2006
Does volatility reflect a continuous reaction to past shocks or changes in the markets induce shifts in the volatility … multiple regimes in the realized volatility of stocks, where large falls (rises) in prices are linked to persistent regimes of … associated with volatility levels 20% and 60% higher than the average of periods with stable or rising prices. We show that this …