Financial Stylized Facts and the Taylor-Effect in Stochastic Volatility Models

Helena Veiga

Economics Bulletin, 2009, vol. 29, issue 1, 265-276

Abstract: According to the Taylor-Effect the autocorrelations of absolute financial returns are larger than the ones of squared returns. In this work, we analyze in detail, for two different asymmetric stochastic volatility models, how the Taylor-Effect relates to the most important model characteristics: the asymmetry, the volatility persistence and the kurtosis. We also realize Monte Carlo experiments to infer about possible biases of the sample Taylor-Effect and we fit the models to the return series of the Dow Jones.

JEL-codes: C2 C5 (search for similar items in EconPapers)
Date: 2009-03-05
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Citations: View citations in EconPapers (4)

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