Nonlinear Adjustments of Volatility Expectations to Forecast Errors: Evidence from Markov-Regime Switches in Implied Volatility
Nonlinear Adjustments of Volatility Expectations to Forecast Errors: Evidence from Markov-Regime Switches in Implied Volatility
复制标题
波动率预期对预测误差的非线性调整：来自隐含波动率马尔可夫体制切换的证据
DOI：
10.1142/s0219091512500075
复制
发表时间：
2012
影响因子：
0.9
通讯作者：
Kazuhiko Nishina
中科院分区：
文献类型：
--
作者：
橘木俊詔;齊藤隆志;Kazuhiko Nishina
本文基于无模型隐含波动率指数检验波动率预期行为的非线性。使用马尔可夫制度转换模型，来自德国、日本和美国市场的经验证据表明，确实存在特定于制度的波动性预期水平。尽管这些制度似乎受序列相关性和预测误差调整程度的影响，但没有证据表明存在显著的杠杆效应。波动性预期的制度转变频率受到金融危机爆发的影响，这会增加由较低的自回归效应和更快的调整速度驱动的制度的可能性。证据表明，尽管市场参与者的异质信念，隐含波动率指数提供了一个衡量的共识预期，可以在理解金融不稳定时期的波动预期的非线性行为是有用的。
This paper tests for nonlinearities in the behavior of volatility expectations based on model-free implied volatility indices. Using Markov regime-switching models, the empirical evidence from the German, Japanese and U.S. markets suggests that there are indeed regime-specific levels of volatility expectations. Whereas the regimes seem to be governed by the degree of serial correlation and adjustment to forecast errors, there is no evidence of significant leverage effects. The frequency of regime shifts in volatility expectations is affected by the onset of financial crises, which have the effect of increasing the likelihood of regimes driven by lower autoregressive effects and faster speeds of adjustment. The evidence suggests that despite the heterogeneous beliefs of market participants, implied volatility indices provide a measure of consensus expectations that can be useful in understanding the nonlinear behavior of volatility expectations during periods of financial instability.