Unusual behavior: Reversed Leverage Effect Bias

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Tajdini Saeid; JAFARI FARZAD; Lotfi Ghahroud Majid

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Journal Paper

Paper Information

Journal: Journal of Mathematics and Modeling in Finance Year:2021 | Volume:1 | Issue:1 Page(s): 65-76

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Title

Unusual behavior: Reversed Leverage Effect Bias

Author(s)

Tajdini Saeid | JAFARI FARZAD | Lotfi Ghahroud Majid | Issue Writer Certificate

Keywords

Reversed Leverage Effect Bias

volatility Stock market

Abstract

According to the literature on risk, bad news induces higher volatility than good news. Although parametric procedures used for conditional variance modeling are associated with model risk, this may affect the volatility and conditional value at risk estimation process either due to estimation or misspecification risks. For inferring non-linear financial time series, various parametric and non-parametric models are generally used. Since the leverage effect refers to the generally negative correlation between an asset return and its volatility, models such as GJRGARCH and EGARCH have been designed to model leverage effects. However, in some cases, like the Tehran Stock Exchange, the results are different in comparison with some famous stock exchanges such as the S&P500 index of the New York Stock Exchange and the DAX30 index of the Frankfurt Stock Exchange. The purpose of this study is to show this difference and introduce and model the "Reversed Leverage Effect Bias" in the indices and stocks in the Tehran Stock Exchange.

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APA: Copy

Tajdini, Saeid, JAFARI, FARZAD, & Lotfi Ghahroud, Majid. (2021). Unusual behavior: Reversed Leverage Effect Bias. JOURNAL OF MATHEMATICS AND MODELING IN FINANCE, 1(1), 65-76. SID. https://sid.ir/paper/983680/en

Vancouver: Copy

Tajdini Saeid, JAFARI FARZAD, Lotfi Ghahroud Majid. Unusual behavior: Reversed Leverage Effect Bias. JOURNAL OF MATHEMATICS AND MODELING IN FINANCE[Internet]. 2021;1(1):65-76. Available from: https://sid.ir/paper/983680/en

IEEE: Copy

Saeid Tajdini, FARZAD JAFARI, and Majid Lotfi Ghahroud, “Unusual behavior: Reversed Leverage Effect Bias,” JOURNAL OF MATHEMATICS AND MODELING IN FINANCE, vol. 1, no. 1, pp. 65–76, 2021, [Online]. Available: https://sid.ir/paper/983680/en

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