Comparing symmetric and asymmetric volatility estimates for S&P index prices

Modelling Volatility: Symmetric or Asymmetric Garch Models?

In this paper, we estimate GARCH, EGARCH, and GJR-GARCH models assuming normal and heavy-tailed distribution (i.e., GED). Results suggest that when the heavy-tailed distribution is considered, the persistence has found to be reduced in all the cases. Findings also reveal that positive shocks are more common than the negative shocks in this market.

Switching Asymmetric GARCH and Options on a Volatility Index

Modeling Stock Return Volatility Using Symmetric and Asymmetric Nonlinear State Space Models: Case of Tehran Stock Market

Volatility is a measure of uncertainty that plays a central role in financial theory, risk management, and pricing authority. Turbulence is the conditional variance of changes in asset prices that is not directly observable and is considered a hidden variable that is indirectly calculated using some approximations. To do this, two general approaches are presented in the literature of financial ...

Symmetric and Asymmetric Binuclear α-Diimine Nickel(II) Complexes for Ethylene Polymerization

 A series of symmetric and asymmetric binuclear α-diimine nickel(II) complexes toward ethylene polymerization were successfully synthesized and characterized by 1HNMR. All the catalysts were typically activated with MAO and displayed good activity at room temperature under 1atm ethylene pressure. The symmetric catalyst containing isopropyl on l...

Approximation for Option Prices under Uncertain Volatility

In this paper, we study the asymptotic behavior of the worst case scenario option prices as the volatility interval in an uncertain volatility model (UVM) degenerates to a single point, and then provide an approximation procedure for the worst case scenario prices in a UVM with small volatility interval. Numerical experiments show that this approximation procedure performs well even as the size...