Abstract
The time series for stocks show a (negative) dependency between past directional moves and the realized volatility. This leverage effect corresponds to an increased volatility after a downward price move. The effect is studied quantitatively over multiple time scales for empirical data. The flexibility of the ARCH equations allows us to add easily such a dependency, so as to reproduce the empirical findings.
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Zumbach, G. (2013). Leverage Effect. In: Discrete Time Series, Processes, and Applications in Finance. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-31742-2_14
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DOI: https://doi.org/10.1007/978-3-642-31742-2_14
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-31741-5
Online ISBN: 978-3-642-31742-2
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