{"paper":{"title":"Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.RM","stat.CO"],"primary_cat":"stat.AP","authors_text":"Leopoldo Catania, Nima Nonejad","submitted_at":"2016-05-01T10:16:29Z","abstract_excerpt":"The leverage effect refers to the well-established relationship between returns and volatility. When returns fall, volatility increases. We examine the role of the leverage effect with regards to generating density forecasts of equity returns using well-known observation and parameter-driven volatility models. These models differ in their assumptions regarding: The parametric specification, the evolution of the conditional volatility process and how the leverage effect is accounted for. The ability of a model to generate accurate density forecasts when the leverage effect is incorporated or no"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1605.00230","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}