Using asymmetric nonlinear smooth-transition GARCH(M) models for the period of 1926:01 - 1997:12, this paper shows that monthly excess returns on value-weighted market indexes exhibit a strong asymmetric reverting pattern; a negative return reverts more quickly, with a greater reverting...

Using asymmetric nonlinear smooth-transition GARCH(M) models for the period of 1926:01 - 1997:12, this paper shows that monthly excess returns on value-weighted market indexes exhibit a strong asymmetric reverting pattern; a negative return reverts more quickly, with a greater reverting...

In this paper, we explore nonlinearity inherent in short-horizon return dynamics, which is characterized by an asymmetric mean-reverting property. Over the period of 1962:07–2003:12, both daily and weekly returns of three market indexes and individual stock returns exhibit a strong asymmetric...