Alternative Asymmetric Stochastic Volatility Models
提出一种新的非对称随机波动模型，综合了杠杆效应和规模效应，并用四种金融时间序列验证了其有效性，对研究资产收益波动不对称性的学者有参考价值。
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 Nelson , D. B. ( 1991 ). Conditional heteroskedasticity in asset returns: a new approach . Econometrica 59 : 347 – 370 .[Crossref], [Web of Science ®] , [Google Scholar]). We consider categories for asymmetric effects, which describes the difference among the asymmetric effect of the EGARCH model, the threshold effects indicator function of Glosten et al. (1992 Glosten , L. , Jagannathan , R. , Runkle , D. ( 1992 ). On the relation between the expected value and volatility of nominal excess returns on stocks . Journal of Finance 46 : 1779 – 1801 . [Google Scholar]), and the negative correlation between the innovations in returns and volatility. The new model is estimated by the efficient importance sampling method of Liesenfeld and Richard (2003), and the finite sample properties of the estimator are investigated using numerical simulations. Four financial time series are used to estimate the alternative asymmetric stochastic volatility (SV) models, with empirical asymmetric effects found to be statistically significant in each case. The empirical results for S&P 500 and Yen/USD returns indicate that the leverage and size effects are significant, supporting the general model. For Tokyo stock price index (TOPIX) and USD/AUD returns, the size effect is insignificant, favoring the negative correlation between the innovations in returns and volatility. We also consider standardized t distribution for capturing the tail behavior. The results for Yen/USD returns show that the model is correctly specified, while the results for three other data sets suggest there is scope for improvement.