scholarly journals Leverage Effect for Volatility with Generalized Laplace Error

2014 ◽  
Vol 29 (2) ◽  
Author(s):  
Farrukh Javed ◽  
Krzysztof Podgórski
Keyword(s):  
Good News ◽  
Leverage Effect ◽  
Economic Time Series ◽  
News Shocks ◽  
Fundamental Properties ◽  
The Past ◽  
Volatility Models ◽  
Asymmetric Power ◽  
Power Models ◽  
Economic Time

AbstractWe propose a new model that accounts for the asymmetric response of volatility to positive (`good news') and negative (`bad news') shocks in economic time series – the so-called leverage effect. In the past, asymmetric powers of errors in the conditionally heteroskedastic models have been used to capture this effect. Our model is using the gamma difference representation of the generalized Laplace distributions that efficiently models the asymmetry. It has one additional natural parameter, the shape, that is used instead of power in the asymmetric power models to capture the strength of a long-lasting effect of shocks. Some fundamental properties of the model are provided including the formula for covariances and an explicit form for the conditional distribution of `bad' and `good' news processes given the past – the property that is important for statistical fitting of the model. Relevant features of volatility models are illustrated using S&P 500 historical data.

scholarly journals Twenty Years of Time Series Econometrics in Ten Pictures

2017 ◽  
Vol 31 (2) ◽  
pp. 59-86 ◽  
Author(s):  
James H. Stock ◽  
Mark W. Watson
Keyword(s):  
Time Series ◽  
Causal Effects ◽  
Economic Time Series ◽  
Economic Relationships ◽  
Time Series Econometrics ◽  
The Past ◽  
Dynamic Structural Models ◽  
Economic Time ◽  
Dynamic Stochastic ◽  
Improved Methods

This review tells the story of the past 20 years of time series econometrics through ten pictures. These pictures illustrate six broad areas of progress in time series econometrics: estimation of dynamic causal effects; estimation of dynamic structural models with optimizing agents (specifically, dynamic stochastic equilibrium models); methods for exploiting information in “big data” that are specialized to economic time series; improved methods for forecasting and for monitoring the economy; tools for modeling time variation in economic relationships; and improved methods for statistical inference. Taken together, the pictures show how 20 years of research have improved our ability to undertake our professional responsibilities. These pictures also remind us of the close connection between econometric theory and the empirical problems that motivate the theory, and of how the best econometric theory tends to arise from practical empirical problems.

scholarly journals PERAMALAN VOLATILITAS RETURN SAHAM MENGGUNAKAN METODE ASYMMETRIC POWER ARCH (APARCH)

2020 ◽  
Vol 9 (3) ◽  
pp. 157
Author(s):  
JUITA HARYATI SIDADADOLOG ◽  
I WAYAN SUMARJAYA ◽  
NI KETUT TARI TASTRAWATI
Keyword(s):  
Stock Return ◽  
Bad News ◽  
Good News ◽  
Garch Models ◽  
Leverage Effect ◽  
Asymmetric Effect ◽  
Asymmetric Power ◽  
Asymmetric Garch ◽  
Effect Condition

Model APARCH is one of the asymmetric GARCH models. These models are able to capture the incidence of good news and bad news in the volatility. The APARCH model has an asymmetric coefficient to cope with leverage effect by modeling a leverage that has heteroscedasticity and asymmetric effect condition. The results of this research were obtained by the appropriate APARCH model. The model is the APARCH(1,2) model because all parameters are significant. Thus, proceeds from the volatility of stock return for the next 14 days with the model volatility APARCH(1,2) increased from period one to period fourteen.

The Twenty-first Century

2018 ◽  
Author(s):  
Alexander Gillespie
Keyword(s):  
Environmental Sustainability ◽  
First Century ◽  
Bad News ◽  
Good News ◽  
Species Loss ◽  
The Past ◽  
Scientific Terms ◽  
Twenty First Century ◽  
Open Question ◽  
New Generation

The cumulative environmental challenge of sustainable development in the twenty-first century is larger than anything humanity has ever had to deal with in the past. The good news is that solid progress is being reached in the understanding of issues in scientific terms and understanding what needs to be done. The bad news is twofold. First, although many of the environmental problems of earlier centuries are now being confronted, a new generation of difficulties is eclipsing what were the older difficulties. Secondly, much of the progress is being achieved by the wealthier parts of the planet, rather than the developing world. From population growth to climate change to unprecedented habitat and species loss, whether environmental sustainability can be achieved in the twenty-first century is an open question.

scholarly journals Asymmetry and Leverage with News Impact Curve Perspective in Australian Stock Returns’ Volatility during COVID-19

2021 ◽  
Vol 14 (7) ◽  
pp. 314
Author(s):  
Najam Iqbal ◽  
Muhammad Saqib Manzoor ◽  
Muhammad Ishaq Bhatti
Keyword(s):  
Stock Returns ◽  
Garch Model ◽  
Bad News ◽  
Good News ◽  
Fiscal Policies ◽  
News Shocks ◽  
Australian Health ◽  
Egarch Model ◽  
Negative Effect ◽  
The Garch Model

This paper studies the effect of COVID-19 on the volatility of Australian stock returns and the effect of negative and positive news (shocks) by investigating the asymmetric nature of the shocks and leverage impact on volatility. We employ a generalised autoregressive conditional heteroskedasticity (GARCH) model and extend the analysis using the exponential GARCH (EGARCH) model to capture asymmetry and allegedly leverage. We proxy the news related to the negative effect of COVID-19 on the Australian health system and its economy as bad news, and on the other hand, measures taken by government economic stimulus packages through their monetary and fiscal policies as good news. The S&P ASX200 (ASX-200) index is used as a proxy to the Australian stock market, and we use value-weighted returns of the stocks listed on ASX-200 for the period 27 January 2020 to 29 December 2020. The empirical results suggest the EGARCH model fits better in capturing asymmetry and leverage than the GARCH model in estimating the volatility of the Australian stock returns. However, another interesting finding is that the EGARCH model with volatility equation without news demonstrates a larger (smaller) leverage effect of the negative (positive) shocks on the conditional volatility compared to its variant with the news.

Sign in / Sign up

Export Citation Format

Share Document