volatility models, namely GARCH, GJR, EGARCH, and Stochastic Volatility that are widely used to capture asymmetry and leverage. …

) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative … effects of equal magnitude, EGARCH can also accommodate leverage, which is the negative correlation between returns shocks and …

) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative … effects of equal magnitude, and leverage, which refers to the negative correlation between the returns shocks and subsequent …

between asymmetry and leverage, as well as which asymmetric models are purported to be able to capture leverage, the purpose … models are important in estimating and forecasting volatility, as well as capturing asymmetry, which is the different effects … on conditional volatility of positive and negative effects of equal magnitude, and leverage, which is the negative …

realized volatility models, not confusing thresholds, asymmetry and leverage, not underestimating the complexity of …

mean, to examine asymmetry and leverage in volatility, and to examine the effects of temporal and spatial aggregation. The … and have sensible interpretations. Asymmetry (though not leverage) is found for several alternative HAR models for the …

persistence of symmetry, asymmetry and leverage, respectively. …