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A stochastic volatility model for volatility asymmetry and propagation

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorMarín Díazaraque, Juan Miguel
dc.contributor.authorRomero, Eva
dc.contributor.authorLopes Moreira Da Veiga, María Helena
dc.contributor.funderAgencia Estatal de Investigación (España)
dc.date.accessioned2024-05-09T11:21:19Z
dc.date.available2024-05-09T11:21:19Z
dc.date.issued2024-05-07
dc.description.abstractIn this paper, we propose a novel asymmetric stochastic volatility model that uses a heterogeneous autoregressive process to capture the persistence and decay of volatility asymmetry over time, which is different from traditional approaches. We analyze the properties of the model in terms of volatility asymmetry and propagation using a recently introduced concept in the field and find that the new model can generate both volatility asymmetry and propagation effects. We also introduce Data Cloning for parameter estimation, which provides robustness and computational efficiency compared to conventional techniques. Our empirical analysis shows that the new proposal outperforms a recent competitor in terms of in-sample fit and out-of-sample volatility prediction across different financial return series, making it a more effective tool for capturing the dynamics of volatility asymmetry in financial markets.en
dc.description.sponsorshipHelena Veiga acknowledges financial support by Agencia Estatal de Investigación research projects PID2021-122919NB-I00 and PID2022-139614NB-C22, and by Fundação para a Ciência e Tecnologia research project UIDB/00315/2020. J.M. Marín acknowledges financial support by Agencia Estatal de Investigación research under project PID2020-115598RB-I00.en
dc.format.extent26
dc.identifier.issn2387-0303
dc.identifier.urihttps://hdl.handle.net/10016/43887
dc.identifier.uxxiDT/0000002119
dc.language.isoeng
dc.publisherUniversidad Carlos III de Madrides
dc.relation.ispartofseriesWorking paper Statistics and Econometricsen
dc.relation.ispartofseries24-04
dc.relation.projectIDGobierno de España. PID2021-122919NB-I00
dc.relation.projectIDGobierno de España. PID2022-139614NB-C22
dc.relation.projectIDGobierno de España. PID2020-115598RB-I00
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 Internationalen
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subject.ecienciaEstadísticaes
dc.subject.otherData cloningen
dc.subject.otherPropagationen
dc.subject.otherStochastic volatilityen
dc.subject.otherVolatility asymmetryen
dc.titleA stochastic volatility model for volatility asymmetry and propagationen
dc.typeworking paperen
dspace.entity.typePublication
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