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Do common volatility models capture cyclical behaviour in volatility?

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  • Adam Clements
  • Jerome Collet

Abstract

This article examines whether commonly used models of volatility can capture the cyclical behaviour of equity market volatility. The ability of a number of models to account for the dynamics governing periods of increasing and decreasing volatility will be examined. In summary, the commonly used models considered here do not adequately capture the average duration of cycles or the duration dependence in equity volatility.

Suggested Citation

  • Adam Clements & Jerome Collet, 2008. "Do common volatility models capture cyclical behaviour in volatility?," Applied Financial Economics, Taylor & Francis Journals, vol. 18(7), pages 599-604.
    • Handle: RePEc:taf:apfiec:v:18:y:2008:i:7:p:599-604
    DOI: 10.1080/09603100600993802
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    Cited by:

    1. Dufrénot, Gilles & Mignon, Valérie & Péguin-Feissolle, Anne, 2011. "The effects of the subprime crisis on the Latin American financial markets: An empirical assessment," Economic Modelling, Elsevier, vol. 28(5), pages 2342-2357, September.
    2. Vogel, Harold L. & Werner, Richard A., 2015. "An analytical review of volatility metrics for bubbles and crashes," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 15-28.

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