The Leverage Eeect in Nancial Markets: Retarded Volatility and Market Panic
نویسندگان
چکیده
We investigate quantitatively the so-called leverage eeect, which corresponds to a negative correlation between past returns and future volatility. For individual stocks, this correlation is moderate and decays exponentially over 50 days, while for stock indices, it is much stronger but decays faster. For individual stocks, the magnitude of this correlation has a universal value that can be rationalized in terms of a new`retarded' model which interpolates between a purely additive and a purely multiplicative stochas-tic process. For stock indices a speciic market panic phenomenon seems to be necessary to account for the observed amplitude of the eeect.
منابع مشابه
The leverage effect in financial markets: retarded volatility and market panic
We investigate quantitatively the so-called leverage effect, which corresponds to a negative correlation between past returns and future volatility. For individual stocks, this correlation is moderate and decays exponentially over 50 days, while for stock indices, it is much stronger but decays faster. For individual stocks, the magnitude of this correlation has a universal value that can be ra...
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