Volatility Clustering, Leverage Effects, and Jump Dynamics in the US and Emerging Asian Equity Markets

Elton Daal, Atsuyuki Naka and Jung-Suk Yu
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Elton Daal: University of New Orleans
Atsuyuki Naka: University of New Orleans

No 2005-03, Working Papers from University of New Orleans, Department of Economics and Finance

Abstract: This paper proposes asymmetric GARCH-Jump models that synthesize autoregressive jump intensities and volatility feedback in the jump component. Our results indicate that these models provide a better fit for the dynamics of the equity returns in the US and emerging Asian markets, irrespective whether the volatility feedback is generated through a common GARCH multiplier or a separate measure of volatility in the jump intensity function. We also find that they can capture several distinguishing features of the return dynamics in emerging markets, such as, more volatility persistence, less leverage effects, fatter tails, and greater contribution and variability of the jump component.

Keywords: Volatility feedback; Time-varying jump intensity; Volatility clustering; Leverage effect; Leptokurtosis (search for similar items in EconPapers)
JEL-codes: C22 F31 G15 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2006-01-20
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-fin, nep-fmk, nep-ifn, nep-rmg and nep-sea
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Journal Article: Volatility clustering, leverage effects, and jump dynamics in the US and emerging Asian equity markets (2007)
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