Return-volatility correlation in financial dynamics.
We investigate the return-volatility correlation both local and nonlocal in time with daily and minutely data of the German DAX and Chinese indices, and observe a leverage effect for the German DAX, while an antileverage effect for the Chinese indices. In the negative time direction, i.e., for the volatility-return correlation, an antileverage effect nonlocal in time is detected for both the German DAX and Chinese indices, although the duplicate local in time does not exist. A retarded volatility model may describe the asymmetric properties of the financial indices in the positive time direction.
Qiu
T
T
Zhejiang University, Zhejiang Institute of Modern Physics, Hangzhou 310027, People's Republic of China.
Zheng
B
B
Ren
F
F
Trimper
S
S