Unusual behavior: Reversed Leverage Effect Bias

Tajdini, Saeid; Jafari, Farzad; Lotfi Ghahroud, Majid

doi:10.22054/jmmf.2020.54928.1016

فهرست نشریات

اخذ رتبه توسط نشریه پژوهش‌های رهبری آموزش از وزارت علوم، تحقیقات و فناوری

اخذ رتبه «الف» توسط نشریه پژوهشنامه معارف قرآنی از وزرات علوم، تحقیقات و فناوری

نشست مشورتی مسئولان مجلات علمی دانشگاه علامه‌طباطبائی

نتایج ارزیابی علمی نشریات دانشگاه علامه طباطبائی در سال ۱۴۰۱; 19عنوان موفق به دریافت رتبه الف شدند.

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	Unusual behavior: Reversed Leverage Effect Bias
Journal of Mathematics and Modeling in Finance
دوره 1، شماره 1، خرداد 2021، صفحه 77-88 اصل مقاله (156.19 K)
نوع مقاله: Research Article
شناسه دیجیتال (DOI): 10.22054/jmmf.2020.54928.1016
نویسندگان
Saeid Tajdini¹؛ Farzad Jafari²؛ Majid Lotfi Ghahroud^* ³
¹Postdoc of Finance, Faculty of Economics, University of Tehran, Tehran, Iran
²Ph.D. in Financial Management, Faculty of Management, University of Tehran, Tehran, Iran
³Postdoc of Finance, Hankuk University of Foreign Studies, Seoul, South Korea
چکیده
According to the literature on risk, bad news induces higher volatility than good news. Although parametric procedures used for conditional variance modeling are associated with model risk, this may affect the volatility and conditional value at risk estimation process either due to estimation or misspecification risks. For inferring non-linear financial time series, various parametric and non-parametric models are generally used. Since the leverage effect refers to the generally negative correlation between an asset return and its volatility, models such as GJRGARCH and EGARCH have been designed to model leverage effects. However, in some cases, like the Tehran Stock Exchange, the results are different in comparison with some famous stock exchanges such as the S&P500 index of the New York Stock Exchange and the DAX30 index of the Frankfurt Stock Exchange. The purpose of this study is to show this difference and introduce and model the "reversed leverage effect bias" in the indices and stocks in the Tehran Stock Exchange.
کلیدواژه‌ها
Reversed Leverage Effect Bias؛ volatility؛ Stock market؛ GARCH؛ GJRGARCH

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Unusual behavior: Reversed Leverage Effect Bias