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Forecasting volatility in the presence of Leverage Effect

Rhodes, Rémi; Vargas, Vincent; Domenge, Jean-Christophe (2010), Forecasting volatility in the presence of Leverage Effect. https://basepub.dauphine.fr/handle/123456789/4655

Type
Document de travail / Working paper
External document link
http://hal.archives-ouvertes.fr/hal-00502273/fr/
Date
2010
Publisher
Université Paris-Dauphine
Published in
Paris
Pages
12
Metadata
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Author(s)
Rhodes, Rémi
Vargas, Vincent
Domenge, Jean-Christophe
Abstract (EN)
We define a simple and tractable method for adding the Leverage effect in general volatility predictions. As an application, we compare volatility predictions with and without Leverage on the SP500 Index during the period 2002-2010.
Subjects / Keywords
leverage effect; volatility
JEL
G1 - General Financial Markets