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volatility models, namely GARCH, GJR, EGARCH, and Stochastic Volatility that are widely used to capture asymmetry and leverage. …
Persistent link: https://www.econbiz.de/10008642393
volatility models, namely GARCH, GJR, EGARCH, and Stochastic Volatility that are widely used to capture asymmetry and leverage. …
Persistent link: https://www.econbiz.de/10008642500
volatility models, namely GARCH, GJR, EGARCH, and Stochastic Volatility that are widely used to capture asymmetry and leverage. …
Persistent link: https://www.econbiz.de/10008677982
confusion in the literature between asymmetry and leverage, as well as which asymmetric models are purported to be able to … models are important in estimating and forecasting volatility, as well as in capturing asymmetry, which is the different … effects on conditional volatility of positive and negative effects of equal magnitude, and purportedly in capturing leverage …
Persistent link: https://www.econbiz.de/10010421299
) 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 … derivatives, and hence does not permit (quasi-) maximum likelihood estimation. It is shown in this paper for the non-leverage case …
Persistent link: https://www.econbiz.de/10010421302
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 …
Persistent link: https://www.econbiz.de/10010491351
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 …
Persistent link: https://www.econbiz.de/10011257524
persistence of symmetry, asymmetry and leverage, respectively. …
Persistent link: https://www.econbiz.de/10010732591
memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the … $ exchange rate are statistically adequate and have sensible interpretations. Asymmetry (though not leverage) is found for …
Persistent link: https://www.econbiz.de/10010732596
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 …
Persistent link: https://www.econbiz.de/10010732607