Asymmetric Impact of Innovations on Volatility in the Case of the US and CEEC–3 Markets: EGARCH Based Approach

Joanna Olbryś

DOI: http://dx.doi.org/10.12775/DEM.2013.002

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

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