Since 2014
Positive Dependence and Volatility Asymmetry Properties of the Largest Exchange-Traded Notes (ETNs)
Euro-Asian Journal of Economics and Finance
View Archive Info| Field | Value | |
| Title |
Positive Dependence and Volatility Asymmetry Properties of the Largest Exchange-Traded Notes (ETNs)
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| Creator |
Diaz, John Francis T.
Masa, Argel S. |
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| Subject |
Exchange-traded notes, Long-memory and Volatility Properties, ARFIMA-FIGARCH, ARFIMA-FIAPARCH
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| Description |
This research provides evidence of predictability and asymmetry in the returns and volatility of the two largest exchange-traded notes (ETNs), namely, JPMorgan Alerian MLP Index ETN (ticker: AMJ) and iPath DJ-UBS Commodity ETN (ticker: DJP). This study found that AMJ ETN has an intermediate memory based on the autoregressive fractionally integrated moving average (ARFIMA) model and the combined ARFIMA-fractionally integrated general autoregressive conditional heteroskedasticity (ARFIMA-FIGARCH) models. Long-memory properties also existed in the volatility structures of both the AMJ and DJP ETNs according to the ARFIMA-FIGARCH models making them predictable in the long-run, and violates Fama’s (1970) weak-form efficiency hypothesis. The combined ARFIMA-fractionally integrated asymmetric power autoregressive conditional heteroskedasticity (ARFIMA-FIAPARCH) models did not confirm the initial findings due to insignificant results. However, the gamma ( ) parameter of the ARFIMA-FIAPARCH models showed the presence of volatility asymmetry in the AMJ ETN, which means that negative shocks have relatively more impact than positive shocks on its volatility.
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| Publisher |
Academy of Business & Scientific Research
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| Contributor |
—
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| Date |
2014-03-30
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://absronline.org/journals/index.php/eajef/article/view/176
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| Source |
Euro-Asian Journal of Economics and Finance; Vol 2, No 2 (2014): April; 100-107
2310-4929 2310-0184 |
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| Language |
eng
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| Relation |
http://absronline.org/journals/index.php/eajef/article/view/176/197
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| Rights |
Copyright (c) 2014 Euro-Asian Journal of Economics and Finance
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