Alternative Asymmetric Stochastic Volatility Models
نویسندگان
چکیده
منابع مشابه
Alternative Asymmetric Stochastic Volatility Models*
The stochastic volatility model usually incorporates asymmetric effects by introducing the negative correlation between the innovations in returns and volatility. In this paper, we propose a new asymmetric stochastic volatility model, based on the leverage and size effects. The model is a generalization of the exponential GARCH (EGARCH) model of Nelson (1991). We consider categories for asymmet...
متن کاملSemiparametric Asymmetric Stochastic Volatility∗
This paper extends the stochastic volatility with leverage model, where returns are correlated with volatility, by flexibly modeling the bivariate distribution of the return and volatility innovations nonparametrically. The novelty of the paper is in modeling the unknown distribution with an infinite ordered mixture of bivariate normals with mean zero, but whose mixture probabilities and covari...
متن کاملLikelihood-based inference for asymmetric stochastic volatility models
A likelihood approach for 0tting asymmetric stochastic volatility models is proposed. It is 0rst shown that, using a quadrature method, the likelihood of these models may be approximated, with the required level of accuracy, by a function that may be easily evaluated using matrix calculus along with its 0rst and second derivatives. The approximated likelihood may be maximized using a standard N...
متن کاملGeometric ergodicity of asymmetric volatility models with stochastic parameters
In this paper, we consider a general family of asymmetric volatility models with stationary and ergodic coefficients. This family can nest several non-linear asymmetric GARCH models with stochastic parameters into its ambit. It also generalizes Markovswitching GARCH and GJR models. The geometric ergodicity of the proposed process is established. Sufficient conditions for stationarity and existe...
متن کاملA Stochastic Volatility Alternative to SABR
We present two new stochastic–volatility models in which option prices for European plain vanilla options have closed–form expressions. The models are motivated by the wellknown SABR model but use modified dynamics of the underlying asset. The asset process is modelled as a product of functions of two independent stochastic processes: a Cox– Ingersoll–Ross process and a geometric Brownian motio...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2009
ISSN: 1556-5068
DOI: 10.2139/ssrn.1464329