THE LEVERAGE EFFECT AND THE ASYMMETRY OF THE ERROR DISTRIBUTION IN GARCH-BASED MODELS: THE CASE OF BRAZILIAN MARKET RELATED SERIES
Traditional GARCH models fail to explain at least two of the stylized facts found in financial series: the asymmetry of the distribution of errors and the leverage effect. The leverage effect stems from the fact that losses have a greater influence on future volatilities than do gains. Asymmetry mea...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Sociedade Brasileira de Pesquisa Operacional
2014-05-01
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| Series: | Pesquisa Operacional |
| Subjects: | |
| Online Access: | http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382014000200237&lng=en&tlng=en |