A situation where the volatility of a security is higher when the broader market is performing badly than when the market is performing well. Experts tend to disagree about what causes asymmetric volatility, however factors such as leverage and panic about the market are often cites. The fact that asymmetric volatility even exists is important to hedging strategies as well as to option pricing models.
Related information about asymmetric volatility:
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ously investigate asymmetric volatility at the firm and the market level and to examine two ... document and attempt to explain the asymmetric volatility property of ...
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- Asymmetric Volatility - Financial Dictionary - The Free Dictionary
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- Asymmetric Volatility
Oct 13, 2010 ... Presentation about Asymmetric Volatility at the London Traders & Investors Club.
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- The Determinants of Asymmetric Volatility - JStor
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cratic volatility in an effort to better understand the asymmetric volatility ... gest that asymmetric volatility is primarily attributed to systematic market-wide factors ...