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| Author: | Bauer, C. |
| Title: | A better asymmetric model of changing volatility in stock and exchange rate returns: Trend-GARCH |
| Journal: | European Journal of Finance
2007 : JAN/FEB, VOL. 13:1-2, p. 65-87 |
| Index terms: | stock returns exchange rates volatility models |
| Language: | eng |
| Abstract: | This paper tests empirically the impact of short run price trending on the conditional volatility. Described is the Trend-GARCH model. The empirical analysis supports the existence of trend effects. The Trend-GARCH model proves to be superiour to alternative models. It is also shown that the leverage effect is dependent on the current trend etc. |
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