A0169
Title: On the frequency of transmission of market volatility: A double asymmetric GARCHMIDAS approach
Authors: Alessandra Amendola - University of Salerno (Italy) [presenting]
Vincenzo Candila - University of Salerno (Italy)
Giampiero Gallo - NYU in Florence (Italy)
Abstract: Volatility in financial markets has both low and high-frequency components which determine its dynamic evolution. Previous modelling efforts in the GARCH context (e.g. the SplineGARCH) were aimed at estimating the low frequency component as a smooth function of time around which short-term dynamics evolves. Alternatively, recent literature has introduced the possibility of considering data sampled at different frequencies to estimate the influence of macrovariables on volatility. We propose to use an extension of the GARCH MIDAS model, called Double Asymmetric GARCH MIDAS, where variations in a market volatility variable are observed both at the daily and the monthly level and represent different channels through which market volatility can influence individual stocks. We want to convey the idea that such variations (separately) affect the short and longrun components, possibly having a separate impact according to their sign.
