Asymmetric Volatility: Testing Firm-specific Factors as a Cause for the “Leverage Effect” Using GARCH-modeling
(2015) BUSN88 20151Department of Business Administration
- Abstract (Swedish)
- This thesis aims to investigate the dynamics of the so-called “leverage-effect”. This asymmetry in volatility after negative shocks, relative to positive shocks has been documented extensively before. However, except for findings that it is not due to leverage, the underlying or enhancing factors that cause it have not been investigated. This thesis aims to do so, by testing for the influence of firm-specific variables on this volatility asymmetry size. The methods that are used are both GJR- GARCH(1,1)-modeling and the use of panel-data. The results show, except for the leverage variable, that firm-specific variables do indeed have their own characteristic effect on the size of the volatility asymmetry. The combined R- squared of the firm... (More)
- This thesis aims to investigate the dynamics of the so-called “leverage-effect”. This asymmetry in volatility after negative shocks, relative to positive shocks has been documented extensively before. However, except for findings that it is not due to leverage, the underlying or enhancing factors that cause it have not been investigated. This thesis aims to do so, by testing for the influence of firm-specific variables on this volatility asymmetry size. The methods that are used are both GJR- GARCH(1,1)-modeling and the use of panel-data. The results show, except for the leverage variable, that firm-specific variables do indeed have their own characteristic effect on the size of the volatility asymmetry. The combined R- squared of the firm specific variables shows a good fit; hence they do form a considerable part of the contributing factors to the size of volatility asymmetries. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/5472460
- author
- De Voogd, Joos Jacob Maarten LU and Geschiere, Thijs
- supervisor
- organization
- course
- BUSN88 20151
- year
- 2015
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Volatility forecasts, leverage effect, GARCH, GJR-GARCH
- language
- English
- id
- 5472460
- date added to LUP
- 2015-06-16 11:55:01
- date last changed
- 2015-06-16 11:55:01
@misc{5472460, abstract = {{This thesis aims to investigate the dynamics of the so-called “leverage-effect”. This asymmetry in volatility after negative shocks, relative to positive shocks has been documented extensively before. However, except for findings that it is not due to leverage, the underlying or enhancing factors that cause it have not been investigated. This thesis aims to do so, by testing for the influence of firm-specific variables on this volatility asymmetry size. The methods that are used are both GJR- GARCH(1,1)-modeling and the use of panel-data. The results show, except for the leverage variable, that firm-specific variables do indeed have their own characteristic effect on the size of the volatility asymmetry. The combined R- squared of the firm specific variables shows a good fit; hence they do form a considerable part of the contributing factors to the size of volatility asymmetries.}}, author = {{De Voogd, Joos Jacob Maarten and Geschiere, Thijs}}, language = {{eng}}, note = {{Student Paper}}, title = {{Asymmetric Volatility: Testing Firm-specific Factors as a Cause for the “Leverage Effect” Using GARCH-modeling}}, year = {{2015}}, }