STAT244.Lecture.02 7

STAT244.Lecture.02 7 - I Volatility Clustering I Strong...

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
Asymmetry and Volatility Clustering I Asymmetry I Response to positive returns is generally smaller than that of negative returns. I How do we test this?
Background image of page 1
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: I Volatility Clustering I Strong autocorrelations in | r t | and in r 2 t . I Asymptotic confidence intervals are wider for heavy-tails....
View Full Document

This note was uploaded on 10/16/2010 for the course STAT 244 taught by Professor Dr.velu during the Summer '10 term at Stanford.

Ask a homework question - tutors are online