Ocean Freight and Asymmetric News Impact

Soo-Won Mo and Chang-Beom Kim
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Soo-Won Mo: Mokpo National University
Chang-Beom Kim: Chosun University

Korean Economic Review, 2001, vol. 17, 329-346

Abstract: This paper applies the news impact curve for the specification of the conditional volatility. The standard GARCH model, which imposes symmetry on the conditional variances, is shown to produce biased estimates when freight movements are negative. The estimated news impact curve for the GARCH suggests that the conditional variance is underestimated for negative shocks and overestimated for positive shocks. This paper also shows that the AGARCH model is the best at capturing this asymmetric effect.

Keywords: GARCH; MRI; News Impact (search for similar items in EconPapers)
Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:kea:keappr:ker-200112-17-2-08

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