On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
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DOI：
10.1111/j.1540-6261.1993.tb05128.x
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发表时间：
1993-12
影响因子：
8
通讯作者：
L. Glosten;R. Jagannathan;D. Runkle
中科院分区：
文献类型：
--
作者：
L. Glosten;R. Jagannathan;D. Runkle
作者发现支持条件预期月收益率和月收益率的条件方差之间的负关系，使用GARCH-M模型修改，允许（1）波动性的季节性模式，（2）对条件波动性有不同影响的收益率的正创新和负创新，以及（3）名义利率预测条件方差。使用修改后的GARCH-M模型，他们还表明，月度条件波动率可能不像人们想象的那样持久。正的非预期收益率似乎会导致条件波动率的向下修正，而负的非预期收益率则会导致条件波动率的向上修正。版权所有1993年美国金融协会。
The authors find support for a negative relation between conditional expected monthly return and conditional variance of monthly return using a GARCH-M model modified by allowing (1) seasonal patterns in volatility, (2) positive and negative innovations to returns having different impacts on conditional volatility, and (3) nominal interest rates to predict conditional variance. Using the modified GARCH-M model, they also show that monthly conditional volatility may not be as persistent as was thought. Positive unanticipated returns appear to result in a downward revision of the conditional volatility, whereas negative unanticipated returns result in an upward revision of conditional volatility. Copyright 1993 by American Finance Association.