Decision Sciences
6 years ago

Unexpected price drops lead to higher stock market volatility, study finds.

International Journal of Statistics and Applied Mathematics
A time series evaluation of the asymmetric nature of heteroscedasticity: an EGARCH approach
Imoh Udo Moffat, Emmanuel Alphonsus Akpan, Ubon Akpan Abasiekwere

Paper Summary

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The researchers used a model called EGARCH to study stock price volatility. They found that unexpected price drops lead to more volatility than unexpected price increases. This shows that stock market volatility is not the same for all price changes.