Asymmetric Volatility in Emerging and Mature Markets

Shamila Jayasuriya, William Shambora and Rosemary Rossiter
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Shamila Jayasuriya: Shamila A. Jayasuriya, Ohio University, Department of Economics, Bentley Annex 325, Athens, OH 45701, U.S.A.
William Shambora: William Shambora, Ohio University, Department of Economics, Bentley Annex 335 Athens, OH 45701, U.S.A.
Rosemary Rossiter: Rosemary Rossiter, Ohio University, Department of Economics, Bentley Annex 357 Athens, OH 45701, U.S.A.

Journal of Emerging Market Finance, 2009, vol. 8, issue 1, 25-43

Abstract: In his Nobel Laureate lecture Engle notes that asymmetric volatility has a significant impact on risk. In this article equity market volatility is estimated using an asymmetric power-GARCH model which nests many other popular models. We estimate the magnitude of asymmetric volatility for several emerging and mature markets for three sub-periods. Many mature markets exhibit large magnitudes of asymmetric volatility and several emerging markets do so as well. The magnitude of asymmetry varies by sub-period and is consistent with the suggestion in Campbell and Hentschel (1992) that asymmetry is greater when markets are more volatile.

Keywords: Asymmetric volatility; emerging markets; asymmetric power-GARCH; JEL Classification: G100; JEL Classification: G190 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:emffin:v:8:y:2009:i:1:p:25-43

DOI: 10.1177/097265270900800102

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