The determinants of asymmetric volatility
WebSep 14, 2024 · A negative correlation between asset’s volatility increments and price returns is referred as leverage effect . In this paper, we look at this leverage effect and its asymmetry from a unique perspective to establish a general behaviour of investors and traders. We do not deal with the contemporaneous or inter-temporal relationship between ... WebMcGibany and Nourzad ( 1995 ) examine the level and volatility of exchange rates on the demand for money, and their results show that money demand responds to the volatility of relative prices and nominal exchange rates. Furthermore, Bahmani ( 2011 ) finds that exchange rate volatility has short-run effects on money demand in less developed ...
The determinants of asymmetric volatility
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WebEMM model parameter estimates. Parameters. Estimates. Standard errors. $t$ -statistics. Monthly data (January 1926–December 1997) Web"The Determinants of Asymmetric Volatility," Review of Financial Studies, Society for Financial Studies, vol. 14(3), pages 837-859. Ederington, Louis H & Lee, Jae Ha, 1993. "How Markets Process Information: News Releases and Volatility," Journal of Finance, American Finance Association, vol. 48(4), pages 1161-1191, September.
WebApr 12, 2024 · The authors also analyze the asymmetric responses of volatility in REIT returns. Liow and Huang (2024)study the dynamics of volatility connectedness in international real estate investment trusts and find that local stock market is a major determinant of REITs’ volatility connectedness shocks. WebWu, Guojun, 2001. "The Determinants of Asymmetric Volatility," Review of Financial Studies, Society for Financial Studies, vol. 14(3), pages 837-859. Atanu Ghoshray and Tatiana Trifonova, 2014. "Dynamic Adjustment of Crude Oil Price Spreads," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1). Davidson Heath, 2024.
WebJun 20, 2024 · determinants of stock volatility, which is one of the main indicators of stock risk, an d their effects. In this study, it is aimed to reveal the firm specific factors affecting … WebThe Determinants of Asymmetric Volatility Guojun Wu University of Michigan Volatility in equity markets is asymmetric: contemporaneous return and conditional return volatility …
WebJun 1, 2024 · We begin our empirical investigation by estimating two standard asymmetric conditional volatility GARCH models: the threshold GARCH (TGARCH or GJR-GARCH) …
WebJun 1, 2009 · This paper is one of the first to examine the empirical determinants of credit spread changes on corporate bonds in the Australian market. Eight different credit spread changes are analysed corresponding to bonds of four different credit ratings and four different maturity ranges. We investigate the explanatory power of several variables … example accomplishments for resumeWebVolatility in equity markets is asymmetric: contemporaneous return and conditional return volatility are negatively correlated. In this article I develop an asymmetric volatility model … example about food webWebdeterminants and land value volatility. The variables of the pooled VAR are split into negative and positive vectors to allow for asymmetric impacts. Impulse response … example active directory ou structureWebJul 1, 2024 · Realized volatility is found to be significant in every quantile except for the median quantile (τ = 50%) and Garman and Klass’s volatility is significant in the upper quantiles of 0.75 and 0.90. This study assists analysts and investors to formulate better investment strategies. example activity for coordinationWebAug 5, 2024 · models except the models with volatility breaks refuse the leverage effects. David, O.R. Dikko, H.G. and Gulumbe, S.U. [10] highlighted Naira exchange rate volatility using GARCH (1,1) and its asymmetric variants. The results indicated selected determinants are significant and different example action plan for teachersWebAug 5, 2024 · Leverage effect is an asymmetric volatility characteristic. Conditional Variance can be expressed as, Where, asymmetry parameter. Therefore, when there is a asymmetry effect, while indicates the volatility increases more after bad news, than after good news, denotes the conditional variance. brunch in new tampaWebFirst, as volatility is highly persistent, it is relatively easy for users to take positions in the current period that are complimentary to prevailing conditions in the next period. Second, the nature of the risk–return relationship must be such that returns are not exclusively determined by ex ante stochastic variance. example activity diagram