• Economics
  • Published 2005

Asymmetries and Volatility Regimes in the European Equity Markets

  title={Asymmetries and Volatility Regimes in the European Equity Markets},
  author={Carol Alexandra and Emese Lazar},
This paper provides and empirical examination of four European equity indices between 1991 and 2005. We investigate the ability of fifteen different GARCH models to capture the characteristics of historical daily returns effectively and generate realistic implied volatility skews. Using many different model selection criteria we conclude that a normal mixture GARCH model with two volatility components, two sources of asymmetry and endogenous time-varying conditional higher moments provides the… CONTINUE READING

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