Asymetryczny wpływ dodatnich i ujemnych stóp zwrotu na zmienność w przypadku rynków Stanów Zjednoczonych, Polski, Czech i Węgier: podejście oparte na modelu EGARCH

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.

Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies

“…Their results show that increased risk does not necessarily imply an increase in returns. Olbryṡ (2013) investigates the asymmetric impact of innovations on volatility in the case of the US and three biggest emerging CEEC-3 markets, using univariate EGARCH approach. The results indicate that negative innovations have a higher impact on volatility than positive innovations.…”