General asymmetric stochastic volatility models using range data: Estimation and empirical evidence from emerging equity markets
College
Ramon V. Del Rosario College of Business
Department/Unit
Economics
Document Type
Article
Source Title
Applied Financial Economics
Volume
20
Issue
13
First Page
1041
Last Page
1049
Publication Date
7-14-2010
Abstract
We extend the range-based approach of Alizadeh et al. (2002) in order to deal with leverage and size effects and nonnormal conditional distribution in Stochastic Volatility (SV) models. We employ the Efficient Importance Sampling (EIS) method to estimate the range-based asymmetric SV models. Empirical results for the stock market indices of the Association of Southeast Asian Nations (ASEAN5) countries show that the conditional distributions of stock returns are nonnormal and that the model considered captures the existence/absence of the leverage and size effects. © 2010 Taylor & Francis.
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Digitial Object Identifier (DOI)
10.1080/09603101003724356
Recommended Citation
Asai, M., & Unite, A. A. (2010). General asymmetric stochastic volatility models using range data: Estimation and empirical evidence from emerging equity markets. Applied Financial Economics, 20 (13), 1041-1049. https://doi.org/10.1080/09603101003724356
Disciplines
Economics
Keywords
Stock exchanges--Southeast Asia
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