Leverage Effect

Gilles Zumbach
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Gilles Zumbach: Consulting in Financial Research

Chapter Chapter 14 in Discrete Time Series, Processes, and Applications in Finance, 2013, pp 205-209 from Springer

Abstract: Abstract The time series for stocks show a (negative) dependency between past directional moves and the realized volatility. This leverage effect corresponds to an increased volatility after a downward price move. The effect is studied quantitatively over multiple time scales for empirical data. The flexibility of the ARCH equations allows us to add easily such a dependency, so as to reproduce the empirical findings.

Keywords: Stock Price; Stock Index; Multiscale Analysis; Financial Time Series; Leverage Effect (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-642-31742-2_14

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DOI: 10.1007/978-3-642-31742-2_14

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