search query: @author Wu, G. / total: 5
reference: 2 / 5
| Author: | Wu, G. Õiao, Z. |
| Title: | A generalized partially linear model of asymmetric volatility |
| Journal: | Journal of Empirical Finance
2002 : AUG, VOL. 9:3, p. 287-320 |
| Index terms: | MODEL TESTING MODELS VOLATILITY |
| Language: | eng |
| Abstract: | In this paper the authors conduct a close examination of the relationship between return shocks and conditional volatility. The authors do so in a framework where the impact of return shocks on conditional volatility is specified as a general function and estimated nonparametrically using implied volatility data-the Market Volatility Index (VIX). This setup can provide a good description of the impact of return shocks on conditional volatility, and it appears that the news impact curves implied by the VIX data are useful in selecting ARCH specifications at the weekly frequency. The authors find that the Exponential ARCH model of Nelson is capable of capturing most of the asymmetric effect, when return shocks are relatively small. |
SCIMA