All the financial time series analyzed in this paper show the same stilyzed facts. The threshold asymmetric stochastic volatility (TA-ARSV) model is able to reproduce these stilyzed facts, such as, the daily returns are not correlated but the autocorrelation function of the squared returns presents a slow decreasing. The volatility behaviour is very important in the Stock Market and the TA-ARSV model is able to explain the dynamic and asymmetric answer of the volatility when there are shocks of different sign (leverage effect). The objective of this paper is to detect the leverage effect in the different stock index returns: the EURO STOXX50 and four polish indexes.

1. FULLTEXT: Estimation of an Asymmetric Stochastic Volatility Model for the EURO STOXX50 index returns and different Polish index returns., Microsoft Office Document, 1.7MB

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