Negative returns

[Bayre]

Hey guys I'm trying to answer a question 'according to folklores, negative returns tend to cause more volatility than positive ones. Does this hold for the DJCA return series?'

I'm unsure how I can show if this is true or not, any help would be greatly appreciated thanks

[JimForest]

You need to look at assymetric Garch models. Look in the user manual for "threshold Garch" aka GJR-Garch. Also, you should look at Exponential Garch.

I believe there is also a thread on "News Impact Curves" which is a graphical representation of assymetric volatility.