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Leverage and Volatility Feedback Effects in High-Frequency Data


  • Tim Bollerslev
  • Julia Litvinova
  • George Tauchen


We examine the relationship between volatility and past and future returns using high-frequency aggregate equity index data. Consistent with a prolonged "leverage" effect, we find the correlations between absolute high-frequency returns and current and past high-frequency returns to be significantly negative for several days, whereas the reverse cross-correlations are generally negligible. We also find that high-frequency data may be used in more accurately assessing volatility asymmetries over longer daily return horizons. Furthermore, our analysis of several popular continuous-time stochastic volatility models clearly points to the importance of allowing for multiple latent volatility factors for satisfactorily describing the observed volatility asymmetries. Copyright 2006, Oxford University Press.

Suggested Citation

  • Tim Bollerslev & Julia Litvinova & George Tauchen, 2006. "Leverage and Volatility Feedback Effects in High-Frequency Data," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(3), pages 353-384.
  • Handle: RePEc:oup:jfinec:v:4:y:2006:i:3:p:353-384

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    References listed on IDEAS

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