The Threshold Effect in Expected Volatility: A Model Based on Asymmetric Information
基于信息不对称模型，解释了预期波动率中的阈值效应（大冲击比小冲击更不持久），并推导出对交易量和市场流动性的影响，为模型检验提供基础。
This article develops theoretical insight into the effect in expected volatility, which means that large shocks are less persistent in volatility than small shocks. The model uses the Kyle-Admati-Pfleiderer setup with liquidity traders, informed traders, and a market maker. Information is modeled as a GARCH process. It is shown that the GARCH process for information is transformed into a TARCH process (for threshold GARCH) for the market price changes. Working with information flows allows one to derive implications for trading volume and market liquidity which provide the basis for a more complete test of the model. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.