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Oil Price Volatility and Asymmetric Leverage Effects

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  • Lee, Eunhee
  • Han, Doo Bong

Abstract

This study adopts a stochastic volatility (SV) model with two asymptotic regimes and a smooth transition for oil returns. We find that SV models with a smooth transition between two regimes imply an asymmetric leverage effect with different regimes. In particular, the half-life of a negative volatility shock is longer than that of a positive shock.

Suggested Citation

  • Lee, Eunhee & Han, Doo Bong, 2016. "Oil Price Volatility and Asymmetric Leverage Effects," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235480, Agricultural and Applied Economics Association.
    • Handle: RePEc:ags:aaea16:235480
    DOI: 10.22004/ag.econ.235480
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    References listed on IDEAS

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    Keywords

    Resource /Energy Economics and Policy; Risk and Uncertainty;

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