What are GARCH effects?
GARCH models describe financial markets in which volatility can change, becoming more volatile during periods of financial crises or world events and less volatile during periods of relative calm and steady economic growth.
What is leverage effect on volatility?
The leverage effect refers to the observed tendency of an asset’s volatility to be negatively correlated with the asset’s returns. Typically, rising asset prices are accompanied by declining volatility, and vice versa.
What is asymmetric volatility?
Asymmetric Volatility is when the volatility of a market or stock is higher when a market is in a downtrend and volatility tends to be lower in an uptrend. There may be a range of causes of asymmetric volatility, but factors such as leverage, panic selling, and serial correlation are often some of the drivers.
What are the effects of leverage?
The leverage effect describes the effect of debt on the return on equity: Additional debt can increase the return on equity for the owner. This applies as long as the total return on the project is higher than the cost of additional debt.
What is leverage effect in economics?
The leverage effect is the difference between Return on Equity and Return on Capital employed. Leverage effect explains how it is possible for a company to deliver a Return on Equity exceeding the Rate of return on all the Capital invested in the business, i.e. its Return on Capital employed.
What is Arch in time series?
Autoregressive conditional heteroskedasticity (ARCH) is a statistical model used to analyze volatility in time series in order to forecast future volatility. ARCH modeling shows that periods of high volatility are followed by more high volatility and periods of low volatility are followed by more low volatility.
What is Aparch?
The APARCH model implies that the forecast of the conditional volatility raised to the power δ ^ at time T + h is: σ ^ T + h δ ^ = ω ^ + σ ^ T + h − 1 δ ^ α ^ 𝔼 T z T + h − 1 − γ ^ z T + h − 1 δ ^ + β ^