Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5097923 | The Journal of Economic Asymmetries | 2010 | 19 Pages |
Abstract
This article shows different models that are capable of reproducing the stylized facts of financial returns series, and provides a new strategy to model the asymmetric answer of volatility in high-frequency series: the TA-ARSV strategy. This strategy is based on the TGARCH and ARSV models. The database used includes the daily returns of gold, silver, and platinum because these metals are currently (at crisis time) considered as an alternative to reserve currencies. Our analysis focuses on the period January 1, 1990 to February 25, 2009. Results show that the TA-ARSV model is the best in presence of leverage effect.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
MarÃa del Carmen GarcÃa-Centeno, Gema Fernández-Avilés, José MarÃa Montero,