Asymmetric Volatility

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Asymmetric volatility

Phenomenon that volatility is higher in down markets than in up markets.

A situation in which the volatility of a security is higher when the broader market is performing poorly than when it is performing well. Experts disagree on what causes asymmetric volatility, but factors such as leverage and panic are often cited. The fact that asymmetric volatility exists is important to hedging strategies and option pricing models.

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No references found			Due to this kind of problem in assumption, we can also use the TARCH (threshold ARCH) model of Glosten, Jagannathan and Runkle (2) and the exponential GARCH (EGARCH) model of Nelson (3) which specialized in measuring asymmetric volatility of the exchange rate. The volatility and asymmetry of Won/Dollar exchange rate by Yoon, Seok; Lee, Ki Seong / Journal of Social Sciences 0] in (8) defines the asymmetric volatility and v measures the thickness of tails in the distribution. Efficiently estimated mean and volatility characteristics for the ... by Solibakke, P.B. / International Journal of Business			Assumption Certificate Assumption Fee Assumption of Risk Assumption Reinsurance assumptions and limiting conditions Assunzione di rischi Assurance Assurance contre les risques de change Assurance Service Assurance-chomage Assurance-maladie Assurance-vieillesse Assured Assurer Assureur Asta competitive Asterisk ASX ASX Derivatives and Options Market Asymmetric Information Asymmetric Margining Asymmetric Payoff Asymmetric Risk Exposure Asymmetric Taxes Asymmetric Threat Asymmetric Volatility Asymmetry Asymptote Asynchronous At At Fault At Par At Post Education At Risk At Sign At the Bell At the Close Order At the Figure At the Full At the Market At the Money At the Opening Order AT&T At-Risk Rule at-risk rules At-the-Close Order At-the-Money At-the-Opening Order At/for ATA Carnet Atacado			asymmetric ring-closing metathesis Asymmetric Ring-Hybrid Attenuator Asymmetric Ring-Opening Cross-Metathesis Asymmetric Ring-Opening Metathesis Asymmetric Risk Exposure asymmetric rotor Asymmetric Satellite Data Communication System Asymmetric Septal Hypertrophy Asymmetric Simple Exclusion Process Asymmetric Steam Generator Transient Protective Trip Function Asymmetric synthesis asymmetric system Asymmetric Tax Asymmetric taxes Asymmetric Threat Asymmetric Threat Response and Analysis Program Asymmetric Threats asymmetric time Asymmetric Time-Varying Asymmetric Tonic Limb Posturing Asymmetric tonic neck reflex asymmetric top Asymmetric Traveling Salesman Problem Asymmetric Triple Quantum Well Asymmetric Volatility Asymmetric warfare Asymmetric Warfare Group Asymmetric Warfare Initiative Asymmetric Warfare Office Asymmetric-key algorithm Asymmetric-key cryptography asymmetrical asymmetrical asymmetrical asymmetrical asymmetrical asymmetrical bedding asymmetrical cell Asymmetrical cell division Asymmetrical Compact Microstrip Resonator Asymmetrical Compact Microstrip Resonator Cell asymmetrical conductivity Asymmetrical Coplanar Waveguide asymmetrical deflection Asymmetrical Digital Subscriber Line 2 Asymmetrical Digital Subscriber Line Forum Asymmetrical Digital Subscriber Loop Asymmetrical Doherty Power Amplifier asymmetrical fold Asymmetrical information asymmetrical laccolith asymmetrical modem asymmetrical modulation

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