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 ?
We also take into account the analysis of asymmetric volatility influence.
Asymmetric volatility transmission in international stock Markets.
Ogun, Beer, and Nouyrigat (2005) reported, amongst others that volatility clustering and asymmetric volatility found in the United States and other developed markets are also present in Nigeria.
Aslam (2014) confirmed that Pakistan equity market showed asymmetric volatility behavior using EGARCH(1,1).
The asymmetric volatility itself is based on three independent theories i.e.
Also, in the context of the Brazilian stock market, asymmetric volatility models, TARCH and RTARCH, showed to be better than symmetric volatility approaches to indicate the significance of leverage effects on volatility modeling.
We document an asymmetric volatility spillover effect.
(3) The co-movement between oil and G7 stock markets is typically time varying and exhibits both asymmetric volatility effects and long-memory patterns.
Asymmetric volatility spillovers: Revisiting the Diebold-Yilmaz (2009) spillover index with realized semivariance.
Investor heterogeneity and asymmetric volatility under short-sale constraints: Evidence from Korean fund market*
Asymmetric volatility spillovers in deutsche mark exchange rates.
An empirical investigation of asymmetric volatility in real GDP growth rates of Japan, the United Kingdom, the United States and Canada was carried out by (Ho and Tsui, 2003).
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