Liau, Yung-Shi; Yang, Jack - In: Applied Financial Economics 18 (2008) 5, pp. 411-419
This study tests the asymmetric responses of mean reversion and volatility using the asymmetric nonlinear smooth transition generalized autoregressive conditional heteroskedasticity (ANST-GARCH) model. The asymmetric mean reversion and volatility reflect the fact that investors react more...