Skip Navigation


Journal of Financial Econometrics Advance Access originally published online on May 17, 2006
Journal of Financial Econometrics 2006 4(3):353-384; doi:10.1093/jjfinec/nbj014
This Article
Right arrow Full Text
Right arrow Full Text (PDF)
Right arrow All Versions of this Article:
4/3/353    most recent
nbj014v1
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by Bollerslev, T.
Right arrow Articles by Tauchen, G.
Right arrow Search for Related Content
Related Collections
Right arrow G12 - Asset Pricing; Trading volume; Bond Interest Rates
Right arrow G13 - Contingent Pricing; Futures Pricing
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

© The Author 2006. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: journals.permissions@oxfordjournals.org.

Leverage and Volatility Feedback Effects in High-Frequency Data

Tim Bollerslev
     Duke University

Julia Litvinova
     The Brattle Group

George Tauchen
     Duke University

Address correspondence to Tim Bollerslev, Department of Economics, Duke University, Box 90097, Durham, NC 27708, or e-mail: boller{at}econ.duke.edu.

We examine the relationship between volatility and past and future returns using high-frequency aggregate equity index data. Consistent with a prolonged "leverage" effect, we find the correlations between absolute high-frequency returns and current and past high-frequency returns to be significantly negative for several days, whereas the reverse cross-correlations are generally negligible. We also find that high-frequency data may be used in more accurately assessing volatility asymmetries over longer daily return horizons. Furthermore, our analysis of several popular continuous-time stochastic volatility models clearly points to the importance of allowing for multiple latent volatility factors for satisfactorily describing the observed volatility asymmetries.

KEYWORDS: high-frequency data, leverage effect, stochastic volatility models, temporal aggregation, volatility asymmetry, volatility feedback effect

Received May 25, 2005; revised February 20, 2006; accepted March 9, 2006


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?


This article has been cited by other articles:


Home page
 JOURNAL OF FINANCIAL ECONOMETRICSHome page
C. Czado and S. Haug
An ACD-ECOGARCH(1,1) Model
J. Financial Econometrics, November 4, 2009; (2009) nbp023v1.
[Abstract] [Full Text] [PDF]


Disclaimer: Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.