Economics at your fingertips  

Think again: volatility asymmetry and volatility persistence

Baur Dirk G. () and Thomas Dimpfl ()
Additional contact information
Baur Dirk G.: UWA Business School (Accounting and Finance), The University of Western Australia (M251), 35 Stirling Highway, Crawley, WA 6009, Australia

Studies in Nonlinear Dynamics & Econometrics, 2019, vol. 23, issue 1, 19

Abstract: We use a leveraged quantile heterogeneous autoregressive model of realized volatility to illustrate that volatility persistence and the asymmetric “leverage” effect are high volatility phenomena. More specifically, we find that (i) low volatility is not persistent, but high volatility all the more, even featuring properties of explosive processes; and (ii) asymmetry of volatility is only a high volatility phenomenon and there is no asymmetry in low volatility regimes. Our results turn out to be robust to the choice of the realized variance estimator, in particular with respect to jumps. The analysis illustrates that quantile regression can provide information that is hidden in commonly used GARCH or realized volatility models. The quantile regression results can also be linked to the weak empirical evidence of the leverage effect and the volatility feedback effect.

Keywords: quantile regression; realized volatility; volatility asymmetry; volatility feedback; volatility persistence (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) ... -0020.xml?format=INT (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from

Access Statistics for this article

Studies in Nonlinear Dynamics & Econometrics is currently edited by Bruce Mizrach

More articles in Studies in Nonlinear Dynamics & Econometrics from De Gruyter
Bibliographic data for series maintained by Peter Golla ().

Page updated 2019-09-13
Handle: RePEc:bpj:sndecm:v:23:y:2019:i:1:p:19:n:4