Alternative Models of Asymmetric Volatility in Stock Returns PDF Download
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Author: Ludger Hentschel
Publisher:
ISBN:
Category :
Languages : en
Pages : 119
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Book Description
Author: Ludger Hentschel
Publisher:
ISBN:
Category :
Languages : en
Pages : 119
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Book Description
Author: Turgut Kisinbay
Publisher: International Monetary Fund
ISBN: 1451855303
Category : Business & Economics
Languages : en
Pages : 40
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Book Description
Using realized volatility to estimate conditional variance of financial returns, we compare forecasts of volatility from linear GARCH models with asymmetric ones. We consider horizons extending to 30 days. Forecasts are compared using three different evaluation tests. With data from an equity index and two foreign exchange returns, we show that asymmetric models provide statistically significant forecast improvements upon the GARCH model for two of the datasets and improve forecasts for all datasets by means of forecasts combinations. These results extend to about 10 days in the future, beyond which the forecasts are statistically inseparable from each other.
Author: Christian Bauer
Publisher:
ISBN:
Category :
Languages : en
Pages : 24
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Book Description
In this paper we consider the theoretical and empirical relevance of a new family of conditionally heteroskedastic models with a trend dependent conditional variance equation: the Trend-GARCH model. The interest in these models lies in the fact that modern microeconomic theory often suggests the connection between the past behavior of time series and the subsequent reaction of market individuals and thereon changes in the future characteristics of the time series. Our results reveal important properties of these models, which are consistent with stylized facts in financial data sets. They can also be employed for model identification, estimation, and testing. The empirical analysis of a broad variety of asset prices significantly supports the existence of trend effects. The Trend-GARCH model proves to be superior to alternative models such as EGARCH, AGARCH, or TGARCH in replicating the leverage effect in the conditional variance and in fitting the news impact curve.
Author: Ludger Hentschel
Publisher:
ISBN:
Category :
Languages : en
Pages : 238
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Book Description
Author: Geert Bekaert
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 76
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Book Description
It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively correlated. We provide a unified framework to simultaneously investigate asymmetric volatility at the firm and the market level and to examine two potential explanations of the asymmetry: leverage effects and time-varying risk premiums. Our empirical application uses the market portfolio and portfolios with different leverage constructed from Nikkei 225 stocks, extending the empirical evidence on asymmetry to Japanese stocks. Although volatility asymmetry is present and significant at the market and the portfolio levels, its source differs across portfolios. We find that it is important to include leverage ratios in the volatility dynamics but that their economic effects are mostly dwarfed by the volatility feedback mechanism. Volatility feedback is enhanced by a phenomenon that we term covariance asymmetry: conditional covariances with the market increase only significantly following negative market news. We do not find significant asymmetries in conditional betas.
Author: Manabu Asai
Publisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 25
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Book Description
Author: Yang Wang
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Hersh Shefrin
Publisher: Elsevier
ISBN: 0080482244
Category : Business & Economics
Languages : en
Pages : 636
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Book Description
Behavioral finance is the study of how psychology affects financial decision making and financial markets. It is increasingly becoming the common way of understanding investor behavior and stock market activity. Incorporating the latest research and theory, Shefrin offers both a strong theory and efficient empirical tools that address derivatives, fixed income securities, mean-variance efficient portfolios, and the market portfolio. The book provides a series of examples to illustrate the theory. The second edition continues the tradition of the first edition by being the one and only book to focus completely on how behavioral finance principles affect asset pricing, now with its theory deepened and enriched by a plethora of research since the first edition
Author: Greg N. Gregoriou
Publisher: CRC Press
ISBN: 1420099558
Category : Business & Economics
Languages : en
Pages : 654
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Book Description
Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
Author: Gautam Mitra
Publisher: John Wiley & Sons
ISBN: 1119990807
Category : Business & Economics
Languages : en
Pages : 384
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Book Description
The Handbook of News Analytics in Finance is a landmarkpublication bringing together the latest models and applications ofNews Analytics for asset pricing, portfolio construction, tradingand risk control. The content of the Hand Book is organised to provide arapid yet comprehensive understanding of this topic. Chapter 1 setsout an overview of News Analytics (NA) with an explanation of thetechnology and applications. The rest of the chapters are presentedin four parts. Part 1 contains an explanation of methods and modelswhich are used to measure and quantify news sentiment. In Part 2the relationship between news events and discovery of abnormalreturns (the elusive alpha) is discussed in detail by the leadingresearchers and industry experts. The material in this part alsocovers potential application of NA to trading and fund management.Part 3 covers the use of quantified news for the purpose ofmonitoring, early diagnostics and risk control. Part 4 is entirelyindustry focused; it contains insights of experts from leadingtechnology (content) vendors. It also contains a discussion oftechnologies and finally a compact directory of content vendor andfinancial analytics companies in the marketplace of NA. Thebook draws equally upon the expertise of academics andpractitioners who have developed these models and is supported bytwo major content vendors - RavenPack and Thomson Reuters - leadingproviders of news analytics software and machine readablenews. The book will appeal to decision makers in the banking, finance andinsurance services industry. In particular: asset managers;quantitative fund managers; hedge fund managers; algorithmictraders; proprietary (program) trading desks; sell-side firms;brokerage houses; risk managers and research departments willbenefit from the unique insights into this new and pertinent areaof financial modelling.
