RT Generic
T1 A stochastic volatility model for volatility asymmetry and propagation
A1 Marín Díazaraque, Juan Miguel
A1 Romero, Eva
A1 Lopes Moreira Da Veiga, María Helena
AB In 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.
PB Universidad Carlos III de Madrid
SN 2387-0303
YR 2024
FD 2024-05-07
LK https://hdl.handle.net/10016/43887
UL https://hdl.handle.net/10016/43887
LA eng
NO Helena 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.
DS e-Archivo
RD 1 sept. 2024