| Tekijä: | Wu, G. |
| Otsikko: | The Determinants of Asymmetric Volatility |
| Lehti: | Review of Financial Studies
2001 : AUTUMN, VOL. 14:3, p. 837-860 |
| Asiasana: | FINANCE FINANCING VOLATILITY ANALYTICAL REVIEW |
| Kieli: | eng |
| Tiivistelmä: | Volatility in equity markets is asymmetric: contemporaneous return and conditional return volatility are negatively correlated. In this article the author develops an asymmetric volatility model where dividend growth and dividend volatility are the two state variables of the economy. The model allows the leverage effect and the volatility feedback effect, the two popular explanations of asymmetry. The model is estimated by the simulated method of moments. The author finds that both the leverage effect and volatility feedback are important determinants of asymmetric volatility, and volatility feedback is significant both statistically and economically. |
SCIMA