Occurrence of long and short term asymmetry in stock market volatilities
AbstractWe introduce the notions of short and long term asymmetric effects in volatilities. With short term asymmetry we mean the conventional one, i.e. the asymmetric response of current volatility to the most recent return shocks. However, there may be asymmetries in the way the effect of past return shocks propagate over time as well. We refer to this as long term asymmetry. We propose a model that enables the study of such a feature. In an empirical application using stock market index data we found evidence of the joint presence of short and long term asymmetric effects.
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Bibliographic InfoPaper provided by Umeå University, Department of Economics in its series Umeå Economic Studies with number 848.
Length: 10 pages
Date of creation: 03 Oct 2012
Date of revision:
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Postal: Department of Economics, Umeå University, S-901 87 Umeå, Sweden
Phone: 090 - 786 61 42
Fax: 090 - 77 23 02
Web page: http://www.econ.umu.se/
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Financial econometrics; GARCH; memory; nonlinear; risk prediction; time series;
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-10-20 (All new papers)
- NEP-ECM-2012-10-20 (Econometrics)
- NEP-ETS-2012-10-20 (Econometric Time Series)
- NEP-FMK-2012-10-20 (Financial Markets)
- NEP-RMG-2012-10-20 (Risk Management)
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