Volatility Clustering, Leverage Effects, and Jump Dynamics in the US and Emerging Asian Equity Markets
AbstractThis paper proposes asymmetric GARCH-Jump models that synthesize autoregressive jump intensities and volatility feedback in the jump component. Our results indicate that these models provide a better fit for the dynamics of the equity returns in the US and emerging Asian markets, irrespective whether the volatility feedback is generated through a common GARCH multiplier or a separate measure of volatility in the jump intensity function. We also find that they can capture several distinguishing features of the return dynamics in emerging markets, such as, more volatility persistence, less leverage effects, fatter tails, and greater contribution and variability of the jump component.
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Bibliographic InfoPaper provided by University of New Orleans, Department of Economics and Finance in its series Working Papers with number 2005-03.
Length: 39 pages
Date of creation: 20 Jan 2006
Date of revision:
Volatility feedback; Time-varying jump intensity; Volatility clustering; Leverage effect; Leptokurtosis;
Other versions of this item:
- Daal, Elton & Naka, Atsuyuki & Yu, Jung-Suk, 2007. "Volatility clustering, leverage effects, and jump dynamics in the US and emerging Asian equity markets," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2751-2769, September.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-05-06 (All new papers)
- NEP-ECM-2006-05-06 (Econometrics)
- NEP-ETS-2006-05-06 (Econometric Time Series)
- NEP-FIN-2006-05-06 (Finance)
- NEP-FMK-2006-05-06 (Financial Markets)
- NEP-IFN-2006-05-06 (International Finance)
- NEP-RMG-2006-05-06 (Risk Management)
- NEP-SEA-2006-05-06 (South East Asia)
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