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

• 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; Applied Statistics; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/839
• Institution: Singapore Management University

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...