The Determinants of Asymmetric Volatility
构建了一个以股息增长和股息波动率为状态变量的非对称波动率模型，通过模拟矩估计发现杠杆效应和波动率反馈效应都是非对称波动率的重要决定因素，且波动率反馈在统计和经济上均显著。
Volatility in equity markets is asymmetric: contemporaneous return and conditional return volatility are negatively correlated. In this article I develop an asymmetric volatility model where dividend growth and dividend volatility are the two state variables of the economy. The model allows both the leverage effect and the volatility feedback effect, the two popular explanations of asymmetry. The model is estimated by the simulated method of moments. I find that both the leverage effect and volatility feedback are important determinants of asymmetric volatility, and volatility feedback is significant both statistically and economically.