A COMPARISON OF ASYMMETRIC VOLATILITIES ACROSS EUROPEAN STOCK MARKETS AND THEIR IMPACT ON SENTIMENT INDICES

The property of asymmetry is fundamental in the study of financial volatility. In this paper we try to characterize the dynamics of asymmetric volatilities across European stock markets through the use of a modeling method that incorporates a series of GARCH initiatives and the Markov Switching approach. In addition to this, we aim to investigate the manner in which volatility asymmetry influences the evolution of sentiment indexes. Basing our analysis on the MIDAS methodology, (Mi(xed) Da(ta) S(ampling)) we find clear evidence about an existing relation between the two observed variables.