Leverage Effect
The models we have been looking at do not differentiate between positive and negative residuals: both errors are treated the same. However, this does not align with reality, where the volatility resulting from a large negative return is higher than that for the corresponding positive return.
Continue reading: Leverage Effect
http://dlvr.it/T5Q1Dq
Continue reading: Leverage Effect
http://dlvr.it/T5Q1Dq

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