Asymmetric impact of innovations on volatility in the case of the US and CEEC-3 markets: EGARCH based approach

Joanna Olbrys

Dynamic Econometric Models, 2013, vol. 13, 33-50

Abstract: The main goal of this study is to investigate the asymmetric impact of innovations on volatility in the case of the US and three biggest emerging CEEC–3 markets, using univariate EGARCH approach. We compare empirical results for both the whole sample from Jan 3, 2007 to Dec 30, 2011, and two equal subsamples: the ‘down market’ period, and the ‘up market’ period. Pronounced negative asymmetry effects are presented in the case of all markets, and are especially strong in the ‘down market’ period, which is closely connected with the 2007 US subprime crisis period.

Keywords: volatility; asymmetry effect; down and up market; overlapping information set; univariate EGARCH model. (search for similar items in EconPapers)
JEL-codes: C32 C58 G15 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkdem:v:13:y:2013:p:33-50

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