Skip to main content
Fig. 2 | Swiss Journal of Economics and Statistics

Fig. 2

From: The Swiss franc safety premium

Fig. 2

(a-c) Rolling estimation of asymmetry equation. Notes: These figures present the results of the rolling estimations of the equation \(\triangle e_{t+1} = \alpha +\beta D + \gamma r^{\omega }_{t+1}+\delta D r^{\omega }_{t+1} + \epsilon _{t+1}\), where D is a dummy equal to one when stock returns are below their sample average and zero otherwise. The window width is set to 100. The model is estimated by OLS, using Newey-West standard errors with 3 lags. The resulting estimates for the γ and δ coefficients are plotted in dark color at the mid-point of each window. The light lines represent the 90% confidence intervals

Back to article page