Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility

Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility

This paper examines the asymmetric response of equity volatility to return shocks. We generalize the news impact function (NIF), originally introduced by Engle and Ng (1993) to study asymmetric volatility under the ARCH-type models, to be applicable to both stochastic volatility (SV) and ARCH-type m...

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Bibliographic Details
Main Author: YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2004
Subjects:
Bayes factors
Leverage effect
Markov chain Monte Carlo
EGARCH
Realized volatility
Asymmetric volatility
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/820
https://ink.library.smu.edu.sg/context/soe_research/article/1819/viewcontent/archsvD.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/820
https://ink.library.smu.edu.sg/context/soe_research/article/1819/viewcontent/archsvD.pdf

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