The determinants of asymmetric volatility
WebJul 1, 2024 · Realized volatility is found to be significant in every quantile except for the median quantile (τ = 50%) and Garman and Klass’s volatility is significant in the upper quantiles of 0.75 and 0.90. This study assists analysts and investors to formulate better investment strategies. WebEMM model parameter estimates. Parameters. Estimates. Standard errors. $t$ -statistics. Monthly data (January 1926–December 1997)
The determinants of asymmetric volatility
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WebThe Determinants of Asymmetric Volatility - JSTOR Home Webof the short-run Wald test. Similarly, the long-run asymmetric impact is certied on the basis of the rejection of the null ( ˜ 2 −˜ 1 = ˜ 3 −˜ 1, ˜ 4 −˜ 1 = ˜ 5 −˜ 1, and ˜ 6 −˜ 1 = ˜ 7 −˜ 1) of the long-run Wald test. Data The study aims to explore the asymmetric determinants of renewable energy produc-tion in Pakistan ...
WebAsymmetric effects occur when there is a tendency for volatility to react more to negative ‘news’ (e.g. a decline in returns) than to positive ‘news’ (e.g. a rise in returns) (Enders 2015).Theconditionalmeanandvarianceequations used in the EGARCH(1,1) estimation are (McAleer and Hafner 2014; Lamoureux and Lastrapes 1990): Conditional mean equation … Webexpiration and historical volatility are the key determinants of the observable asymmetric profile. This paper is organised into six sections, including the present one. In the next section, we provide a review of the literature covering IV functions and their determinants. Next, we describe the data and their sources and followed by
WebAug 5, 2024 · models except the models with volatility breaks refuse the leverage effects. David, O.R. Dikko, H.G. and Gulumbe, S.U. [10] highlighted Naira exchange rate volatility using GARCH (1,1) and its asymmetric variants. The results indicated selected determinants are significant and different WebJun 1, 2009 · This paper is one of the first to examine the empirical determinants of credit spread changes on corporate bonds in the Australian market. Eight different credit spread changes are analysed corresponding to bonds of four different credit ratings and four different maturity ranges. We investigate the explanatory power of several variables …
WebApr 12, 2024 · The authors also analyze the asymmetric responses of volatility in REIT returns. Liow and Huang (2024)study the dynamics of volatility connectedness in international real estate investment trusts and find that local stock market is a major determinant of REITs’ volatility connectedness shocks.
WebMar 1, 2024 · DOI: 10.1016/j.econmod.2024.106295 Corpus ID: 257864389; The asymmetric dynamics of stock-bond liquidity correlation in China: The role of macro-financial determinants @article{Pan2024TheAD, title={The asymmetric dynamics of stock-bond liquidity correlation in China: The role of macro-financial determinants}, author={Beier … osteokinematics of the hipWebdeterminants and land value volatility. The variables of the pooled VAR are split into negative and positive vectors to allow for asymmetric impacts. Impulse response … osteoking scamWebThe Structural Determinants of External Vulnerability ... Among the causes of macroeconomic volatility, fluctuations in the terms of trade are important sources of external shocks. Across countries about 10 ... including the discussion of symmetric and asymmetric effects, the poten-tial interaction between structural characteristics, and a set … osteo labarthe sur lezeWebSince Bitcoin has frequently witnessed price fluctuations and high volatility, the factors influencing its returns and volatility is an important research subject. To accomplish this goal, we applied the Gets reduction method which has a good osteokinematic vs arthrokinematic motionWebAug 7, 2009 · The volatility clustering effects (ARCH effects) were found in many Australian capital cities. The importance of estimating each individual city's EGARCH model was … osteological analysisWebThis study investigates the asymmetric effects of economic policy uncertainty (EPU) and other possible determinants on the CNY–CNH spreads by utilizing the nonlinear ARDL model. For this purpose, we construct a novel EPU index based on the EPU indices of China and the G7 countries by using principal component analysis. The results show substantial … osteoklastischer trepanationWeb8 rows · Jun 22, 2015 · The presence of asymmetric volatility is most apparent during stock market crashes when a large ... osteo light