Modeling Asymmetric Volatility: A News Impact Curve Approach

Modeling Asymmetric Volatility: A News Impact Curve Approach

Seasonal production, weather abnormalities, and high perishability introduce a high degree of volatility to potato prices. Price volatility is said to be asymmetric when positive and negative shocks of the same magnitude affect it in a dissimilar way. GARCH is a symmetric model, and it cannot captur...

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Bibliographic Details
Main Authors: Debopam Rakshit, Ranjit Kumar Paul, Md Yeasin, Walid Emam, Yusra Tashkandy, Christophe Chesneau
Format: Article
Language:English
Published: MDPI AG 2023-06-01
Series:Mathematics
Subjects:
GARCH
News Impact Curve
volatility
Online Access:https://www.mdpi.com/2227-7390/11/13/2793

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