Asymmetric volatility

Asymmetric volatility

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

Asymmetric Volatility

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.
References in periodicals archive ?
These researchers establish co-movement, cointegration, and asymmetric volatility spillover among the markets of Latin America.
There are asymmetric volatility spillovers and feedback among the Latin equity markets.
Examining sign bias tests show that size bias and joint sign and size bias tests are statistically significant pointing toward asymmetric volatility effects of positive and negative shocks or news.
Asymmetric volatility of stock returns during the Asian crisis: Evidence from Indonesia.
Aloui (2007) explores the nature of the mean, volatility and causality transmission mechanism between stock and foreign exchange markets for the united states and some major European markets for the pre and post euro periods with the use of extended multivariate EGARCH model in order to explain asymmetric volatility transmission mechanism.
It is interesting that empirical research using robust test statistics that are much more sophisticated than the simple Ljung-Box Q-test procedure, (see Hagerud 1997) has found that relatively few stocks show signs of asymmetric volatility clustering.
The model is analytically tractable and captures the asymmetric volatility movement.
We also find that asymmetric volatility movement is weakened during boom periods.
He also used the TGARCH model to test the asymmetric volatility effect and the result suggests the asymmetry in volatility.
They conclude that, in general, the asymmetric volatility performs better than Garch.
0] in (8) defines the asymmetric volatility and v measures the thickness of tails in the distribution.
We find insignificant asymmetric volatility coefficient ([[gamma].
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