The asymmetry in the dynamics of unilateral coefficients of assets' sensitivity to market changes in the context of portfolio risk management

The article considers the possible use of the asymmetry in the dynamics of assets' unilateral coefficients of sensitivity to market changes in order to explain their future volatility. The author clarifies the concept and the nature of shares' volatility clustering in the emerging capital markets, differentiating from the existing conceptions by the consideration of the asymmetry parameters in the dynamics of unilateral and bilateral coefficients of assets' sensitivity to market changes. The paper presents a model of volatility forecasting taking into account the asymmetry in the dynamics of unilateral coefficients of assets' sensitivity to market changes. The author proves the possibility of arbitrage transactions and market efficiency improvement by using the volatility clustering models in portfolio risk management.