EconPapers    
Economics at your fingertips  
 

Estimating stochastic volatility with jumps and asymmetry in Asian markets

K. Saranya and P. Krishna Prasanna

Finance Research Letters, 2018, vol. 25, issue C, 145-153

Abstract: This study investigates the impact of stock market cycles on the volatility of Asian markets. It specifically addresses the combined effect of jumps, asymmetry and stochasticity while predicting the market volatility. Our results indicate that the stochastic volatility process is highly persistent across the countries. Leverage effect, size and frequency of jumps are found to be significant and play a prominent role in computing market volatility. The empirical results imply that the stochastic volatility model embedded with the jump and asymmetric component significantly helps in measuring volatility especially during the turbulent periods. Our results have major implications for policy makers, regulators, mutual funds, hedge funds as well for other institutional investors.

Keywords: Stochastic volatility; Monte Carlo Markov Chain; Asymmetry; Jumps; Bayesian estimation (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612317306281
Full text for ScienceDirect subscribers only

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: https://EconPapers.repec.org/RePEc:eee:finlet:v:25:y:2018:i:c:p:145-153

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-03-30
Handle: RePEc:eee:finlet:v:25:y:2018:i:c:p:145-153