Financial instability and the short-term dynamics of volatility expectations
Financial instability and the short-term dynamics of volatility expectations
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DOI：
10.1080/09603107.2014.881966
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发表时间：
2014-02
期刊：
影响因子：
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通讯作者：
Nabil Maghrebi;Mark J. Holmes;K. Oya
中科院分区：
文献类型：
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作者：
Nabil Maghrebi;Mark J. Holmes;K. Oya
本研究利用无模型波动率指数的马尔可夫状态切换模型，为金融危机期间波动率预期动态的非线性提供了新的证据。国际金融市场隐含波动率的变化机制被定义为市场情绪的函数，以及与理性预期一致的预测误差后的调整过程。结果表明，市场收益和预测误差的变化确实具有影响波动预期形成的潜力。但在金融不稳定时期，推动波动性预期动态的主要力量在于与回报的相关性，反映了市场情绪。调整过程的微不足道可能反映了一种共识，即过去的信息在金融危机期间不能提供有用的指导。这是前瞻性的宏观经济信息和同期的价格变动，更有可能塑造波动预期的动态。
This study provides new evidence of nonlinearities in the dynamics of volatility expectations during financial crises using Markov regime-switching models of model-free volatility indices. The regimes of changes in implied volatility in international financial markets are defined as function of market sentiment and a realignment process following forecast errors consistent with rational expectations. The results indicate that market returns and changes in forecast errors have indeed the potential of influencing the formation of volatility expectations. But the main force driving the dynamics of volatility expectations during periods of financial instability lies rather in the correlation with returns, reflecting market sentiment. The insignificance of the realignment process may be reflective of consensus beliefs that past information does not provide useful guidance during financial crises. It is forward-looking macroeconomic information and contemporaneous price movements that are more likely to shape the dynamics of volatility expectations.