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Title: Volatility leverage and non-Gaussian shocks Authors:  Farrukh Javed - Orebro University (Sweden) [presenting]
Krzysztof Podgorski - Lund University (Sweden)
Abstract: A general framework in which the leverage effects can be accounted for in volatility models featuring non-Gaussian shocks is introduced and discussed. Some specifications within this framework have appeared in the literature but the natural general structure and its consequences for the meaningful modeling of the leverage effect has not been explained. The framework allows treating in a unified way a large number of non-Gaussian innovation alternatives for modeling financial volatility. The stationarity conditions, moments, dependence structure to account for heavy tails and leverage in the data are discussed. Finally, through empirical investigation, the model efficiency has been evaluated using some benchmark financial data.