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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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2004
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| 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 |