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Efficiency and Probabilistic Properties of Bridge Volatility Estimator 桥梁波动估计器的效率和概率性质
ERN: Financial Market Volatility (Topic) Pub Date : 2012-05-17 DOI: 10.2139/ssrn.2026389
A. Saichev, S. Lapinova, M. Tarakanova
{"title":"Efficiency and Probabilistic Properties of Bridge Volatility Estimator","authors":"A. Saichev, S. Lapinova, M. Tarakanova","doi":"10.2139/ssrn.2026389","DOIUrl":"https://doi.org/10.2139/ssrn.2026389","url":null,"abstract":"We discuss the efficiency of the quadratic bridge volatility estimator in comparison with Parkinson, Garman–Klass and Roger–Satchell estimators. It is shown in particular that point and interval estimations of volatility, resting on the bridge estimator, are considerably more efficient than analogous estimations, resting on the Parkinson, Garman–Klass and Roger–Satchell ones.","PeriodicalId":187082,"journal":{"name":"ERN: Financial Market Volatility (Topic)","volume":"164 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-05-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134039588","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums 股票市场波动和波动风险溢价的宏观经济决定因素
ERN: Financial Market Volatility (Topic) Pub Date : 2012-04-22 DOI: 10.2139/ssrn.2005021
V. Corradi, W. Distaso, A. Melé
{"title":"Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums","authors":"V. Corradi, W. Distaso, A. Melé","doi":"10.2139/ssrn.2005021","DOIUrl":"https://doi.org/10.2139/ssrn.2005021","url":null,"abstract":"How does stock market volatility relate to the business cycle? We develop, and estimate, a no-arbitrage model to study the cyclical properties of stock volatility and the risk-premiums the market requires to bear the risk of uctuations in this volatility. The level of stock market volatility cannot be explained by the mere existence of the business cycle. Rather, it relates to the presence of some unobserved factor. At the same time, our model predicts that such an unobservable factor cannot explain the ups and downs stock volatility experiences over time - the \"volatility of volatility.\" Instead, the volatility of stock volatility relates to the business cycle. Finally, volatility risk-premiums are strongly countercyclical, even more so than stock volatility, and are partially responsible for the large swings in the VIX index occurred during the 2007-2009 subprime crisis, which our model does capture in out-of-sample experiments.","PeriodicalId":187082,"journal":{"name":"ERN: Financial Market Volatility (Topic)","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-04-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121379985","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 42
Project on Comparison of Volatility of Banks' Stocks 银行股波动率比较研究项目
ERN: Financial Market Volatility (Topic) Pub Date : 2012-03-16 DOI: 10.2139/SSRN.2025314
Hemant Dave
{"title":"Project on Comparison of Volatility of Banks' Stocks","authors":"Hemant Dave","doi":"10.2139/SSRN.2025314","DOIUrl":"https://doi.org/10.2139/SSRN.2025314","url":null,"abstract":"Current and emerging issues in finance.","PeriodicalId":187082,"journal":{"name":"ERN: Financial Market Volatility (Topic)","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114083411","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A Markov-Switching Range-Based Volatility Model with Applications in Volatility Adjusted VAR Estimation 基于马尔可夫切换区间的波动率模型及其在波动率调整VAR估计中的应用
ERN: Financial Market Volatility (Topic) Pub Date : 2012-03-11 DOI: 10.2139/ssrn.2020122
Chunchou Wu, Yi-Kai Su, D. Miao
{"title":"A Markov-Switching Range-Based Volatility Model with Applications in Volatility Adjusted VAR Estimation","authors":"Chunchou Wu, Yi-Kai Su, D. Miao","doi":"10.2139/ssrn.2020122","DOIUrl":"https://doi.org/10.2139/ssrn.2020122","url":null,"abstract":"We propose a more flexible range-based volatility model which can capture volatility process better than conventional GARCH approach. Considering the regime switching process is appropriate for dealing the structure change embedded in the time series data. Range-based volatility CARR model with Markov-switching structure can assist us to describe the effect for exogenous shock to market data. After the data fitting and VaR estimation, we conclude that the range-based volatility method is better than the return-based GARCH model in volatility fitting. In particular, incorporating the possibility of regime switching into volatility process can boost the efficiency for VaR estimation. We also present an empirical application for demonstrating our model could characterize the unexpected switching of volatility process. Furthermore, comparing with non-regime switching volatility model, our model outperforms other alternatives on the estimation of volatility adjusted historical VaR.","PeriodicalId":187082,"journal":{"name":"ERN: Financial Market Volatility (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131363861","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
On Detection of Volatility Spillovers in Simultaneously Open Stock Markets 同时开放股票市场波动溢出效应的检测
ERN: Financial Market Volatility (Topic) Pub Date : 2012-03-08 DOI: 10.2139/ssrn.2026423
Anssi Kohonen
{"title":"On Detection of Volatility Spillovers in Simultaneously Open Stock Markets","authors":"Anssi Kohonen","doi":"10.2139/ssrn.2026423","DOIUrl":"https://doi.org/10.2139/ssrn.2026423","url":null,"abstract":"Empirical research confirms the existence of volatility spillovers across national stock markets. However, the models in use are mostly statistical ones. Much less is known about the actual transmission mechanisms; theoretical literature is scarce, and so is empirical work trying to estimate specific theoretical models. Some economic theory founded tests for such spillovers have been developed for non-overlapping markets; this institutional set up provides a way around the problems of estimating a system of simultaneous equations. However, volatility spillovers across overlapping markets might be as important a phenomenon as across non-overlapping markets. Building on recent advances in econometrics of identifying structural vector autoregressive models, this paper proposes a way to estimate an existing signal-extraction model that explains volatility spillovers across simultaneously open stock markets. Furthermore, a new empirical test for detection of such spillovers is derived. As an empirical application, the theoretical model is fitted to daily data of eurozone stock markets in years 2010--2011. Evidence of volatility spillovers across the countries is found.","PeriodicalId":187082,"journal":{"name":"ERN: Financial Market Volatility (Topic)","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121706043","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Annualized Volatility 年化波动
ERN: Financial Market Volatility (Topic) Pub Date : 2012-02-18 DOI: 10.2139/ssrn.2007620
Andreas Steiner
{"title":"Annualized Volatility","authors":"Andreas Steiner","doi":"10.2139/ssrn.2007620","DOIUrl":"https://doi.org/10.2139/ssrn.2007620","url":null,"abstract":"In this research note, we compare S&P 500 volatility figures calculated with the popular “square-root-n rule” to volatility figures derived from time-aggregated daily returns and try to reconcile the differences with popular time-series models featuring serial correlation in returns or volatilities. We show that the deviations from the square-root-n rule cannot be explained with serial correlation in returns, rather with a GARCH model. We conclude that volatility figures annualized with the square-root-n rule should not be interpreted as accurate estimates for true annual volatility. The square-root-n rule is also not suitable to standardize volatility figures for reporting purposes.","PeriodicalId":187082,"journal":{"name":"ERN: Financial Market Volatility (Topic)","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-02-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129622123","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Stock Price Dynamics, Dividends, and Option Prices with Volatility Feedback 股票价格动态，股息和期权价格波动反馈
ERN: Financial Market Volatility (Topic) Pub Date : 2012-02-07 DOI: 10.2139/ssrn.2000701
J. Kanniainen, R. Piché
{"title":"Stock Price Dynamics, Dividends, and Option Prices with Volatility Feedback","authors":"J. Kanniainen, R. Piché","doi":"10.2139/ssrn.2000701","DOIUrl":"https://doi.org/10.2139/ssrn.2000701","url":null,"abstract":"In this paper, we provide a new framework for stock and options valuations by characterizing the joint dynamics of stock price, dividends, and volatility with the volatility feedback effect in continuous-time. Within our framework, we consider the properties of stock price and its dynamics with volatility feedback casting light on the excess volatility and the correlation between volatility and stock price. Most importantly, we discover a channel through which the market price of return risk, or equity risk-premium, affects option prices. One implication is that an increase in squared return volatility can be unfavorable to the holder of in-the-money call options. Finally, we illustrate the use of our framework to identifying the risk-return relation using forward-looking option data.","PeriodicalId":187082,"journal":{"name":"ERN: Financial Market Volatility (Topic)","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126392585","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Modeling Asymmetry and Persistence Under the Impact of Sudden Changes in the Volatility of the Indian Stock Market 印度股市波动率突变影响下的模型不对称与持续性
ERN: Financial Market Volatility (Topic) Pub Date : 2012-01-24 DOI: 10.2139/ssrn.1990819
Dilip Kumar, S. Maheswaran
{"title":"Modeling Asymmetry and Persistence Under the Impact of Sudden Changes in the Volatility of the Indian Stock Market","authors":"Dilip Kumar, S. Maheswaran","doi":"10.2139/ssrn.1990819","DOIUrl":"https://doi.org/10.2139/ssrn.1990819","url":null,"abstract":"In this paper, we compare the performance of Inclan and Tiao's (IT) (1994) and Sanso, Arago and Carrion's (AIT) (2004) iterated cumulative sums of squares (ICSS) algorithms by means of Monte Carlo simulation experiments for various data-generating processes with conditional and unconditional variance. In addition, we investigate the impact of regime shifts on the asymmetry and persistence of volatility from the vantage point of modeling volatility in general and, in particular, in assessing the forecasting ability of the GARCH class of models in the context of the Indian stock market. We apply the Iterated Cumulative Sums of Squares (ICSS) algorithm to identify the points of sudden changes in the volatility of the Indian stock market. We find that that when endogenously determined regime shifts in the variance are incorporated in the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model and GJR-GARCH model, the estimated persistence and asymmetry in the volatility of returns come down drastically. This suggests that ignoring regime shifts in the model may results in an overestimation of the persistence of volatility. In addition, we find that sudden changes in the variance are largely associated with domestic and global macroeconomic and political events. The out-of-sample forecast evaluation analysis confirms that volatility models that incorporate regime shifts provide more accurate one-step-ahead volatility forecasts than their counterparts without regime shifts. These findings have important policy implications for financial market participants, investors and policy makers.","PeriodicalId":187082,"journal":{"name":"ERN: Financial Market Volatility (Topic)","volume":"63 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-01-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116896464","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 15
Determinants of Board Structure: A Comparison of Publicly-Traded and Privately-Owned Insurance Companies 董事会结构的决定因素:上市和私营保险公司的比较
ERN: Financial Market Volatility (Topic) Pub Date : 2012-01-21 DOI: 10.2139/ssrn.1992629
Enya He, Steve Miller, Tina Yang
{"title":"Determinants of Board Structure: A Comparison of Publicly-Traded and Privately-Owned Insurance Companies","authors":"Enya He, Steve Miller, Tina Yang","doi":"10.2139/ssrn.1992629","DOIUrl":"https://doi.org/10.2139/ssrn.1992629","url":null,"abstract":"This paper compares board determinants of publicly-traded and privately-owned property-liability insurance firms and the impact of the Sarbanes-Oxley Act (SOX) on board structure of those firms. Although regulation imposes severe constraints on board structure of insurance firms, we find strong evidence that both public and private insurance firms endogenously choose board structure in ways consistent with the economic theory. Specifically, we find evidence in support of the scope-of-operation hypothesis, the information-cost hypothesis, the incentive-alignment hypothesis, and the executive-power hypothesis for public insurance firms and evidence in support of the scope-of-operation hypothesis and the managerial-discretion hypothesis for private insurance firms. Overall, our board determinants models explain as much as 54% variation in board structure of public insurance firms and 44% variation in board structure of private insurance firms. Although SOX applies to only publicly-traded firms, we find that SOX effects had spilled over to private firms. Larger and less levered private insurance firms are more likely to increase board independence post-SOX, suggesting board governance is resource dependent.","PeriodicalId":187082,"journal":{"name":"ERN: Financial Market Volatility (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-01-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131887836","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Structural Change and Spurious Persistence in Stochastic Volatility 随机波动中的结构变化和伪持续性
ERN: Financial Market Volatility (Topic) Pub Date : 2012-01-01 DOI: 10.2139/ssrn.1988303
W. Krämer, Philip Messow
{"title":"Structural Change and Spurious Persistence in Stochastic Volatility","authors":"W. Krämer, Philip Messow","doi":"10.2139/ssrn.1988303","DOIUrl":"https://doi.org/10.2139/ssrn.1988303","url":null,"abstract":"We extend the well established link between structural change and estimated persistence from GARCH to stochastic volatility (SV) models. Whenever structural changes in some model parameters increase the empirical autocorrelations of the squares of the underlying time series, the persistence in volatility implied by the estimated model parameters follows suit. This explains why stochastic volatility often appears to be more persistent when estimated from a larger sample as then the likelihood increases that there might have been some structural change in between.","PeriodicalId":187082,"journal":{"name":"ERN: Financial Market Volatility (Topic)","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127465240","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
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