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Asymmetry with respect to the memory in stock market volatilities


  • Lönnbark, Carl

    () (Department of Economics, Umeå University)


The empirically most relevant stylized facts when it comes to modeling time varying financial volatility are the asymmetric response to return shocks and the long memory property. Up till now, these have largely been modeled in isolation though. To more flexibly capture asymmetry also with respect to the memory structure we introduce a new model and apply it to stock market index data. We find that, although the effect on volatility of negative return shocks is higher than for positive ones, the latter are more persistent and relatively quickly dominate negative ones.

Suggested Citation

  • Lönnbark, Carl, 2012. "Asymmetry with respect to the memory in stock market volatilities," Umeå Economic Studies 849, Umeå University, Department of Economics.
  • Handle: RePEc:hhs:umnees:0849

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    References listed on IDEAS

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    8. Taylor, Mark P. & Allen, Helen, 1992. "The use of technical analysis in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 11(3), pages 304-314, June.
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    More about this item


    Financial econometrics; GARCH; news impact; nonlinear; risk prediction; time series;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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