We studied (i) the volatility feedback effect, defined as the relationship between contemporaneous returns and the … market-based volatility, and (ii) the leverage effect, defined as the relationship between lagged returns and the current … market-based volatility. For our analysis, we used daily measures of volatility estimated from high frequency data to explain …

threshold GARCH family and propose a more general Spline-GTARCH model, which captures high-frequency return volatility, low …-frequency macroeconomic volatility as well as an asymmetric response to past negative news in both autoregressive conditional … numerical example, we find that the proposed more general asymmetric volatility model has better fit, higher persistence of …

volatility (d = 0.80) is also confirmed. …