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Abstract
VW common and preference stock prices are modelled and analyzed using models which allow for multivariate conditional heteroscedasticity. The relationship between the conditional variances of the variables is investigated by suitable impulse responses or conditional moment profiles. It is found that there is a clear asymmetry in the volatility of the series which react quite differently to positive and negative shocks in the market. Also some differences in the reactions of preference and common stocks are uncovered. No significant evidence is found for size effects, that is, the way the variables respond to unexpected shocks in the market depends more on the sign of the shocks than on their size. Copyright © 2000 John Wiley & Sons, Ltd.
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