In this paper, we provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility, and find that implied...

We evaluate the properties of mean reversion and mean aversion in asset prices and returns as commonly characterized in the finance literature. The study is undertaken within a class of well-known dynamic stochastic general equilibrium models and shows that the mean reversion/aversion...

Purpose: This paper examines the volatility of stock return in Dhaka stock exchange, BangladeshMethodology: Using Random Walk model (RW), Autoregressive model (AR), Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model, and extensive GARCH model with Normal, and Student...

Estimation of volatility is important for many financial applications. The most common methods are based on a time series analysis, either sampling prices at regular intervals or using extreme values from within the time intervals. We examine an alternative, where we use the exit times from a...

We analyze the stock market return predictability for three different periods. We evaluate the conditional variance (CV) and the variance risk premium (VRP) as predictors of stock market returns for which we are using well-established versions of the heterogeneous auto-regressive (HAR) model and...

This study compares and contrasts the multiple characterizations of mean reversion in financial time series as regards the restrictions they imply. This is accomplished by translating them into statements about an alternative measure, the "Average Crossing Time" or ACT. We argue that the ACT...