GOOD VOLATILITY, BAD VOLATILITY: SIGNED JUMPS AND THE PERSISTENCE OF VOLATILITY
GOOD VOLATILITY, BAD VOLATILITY: SIGNED JUMPS AND THE PERSISTENCE OF VOLATILITY
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DOI：
10.1162/rest_a_00503
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发表时间：
2015-07-01
影响因子：
8
通讯作者：
Sheppard, Kevin
中科院分区：
文献类型：
--
作者：
Patton, Andrew J.;Sheppard, Kevin
本文利用正负回报变化（已实现半方差）的估计量以及标准普尔 500 指数和 105 只个股的高频数据，为股价波动的可预测性提供了新的线索。我们表明，未来波动性与过去负收益波动性的相关性比与正收益波动性的相关性更强，并且价格上涨对波动性的影响取决于上涨的符号，负（正）上涨会导致更高（更低）的未来波动性。我们表明，利用这些发现的模型可以显着提高样本外预测性能。
Using estimators of the variation of positive and negative returns (realized semivariances) and high-frequency data for the S&P 500 Index and 105 individual stocks, this paper sheds new light on the predictability of equity price volatility. We show that future volatility is more strongly related to the volatility of past negative returns than to that of positive returns and that the impact of a price jump on volatility depends on the sign of the jump, with negative (positive) jumps leading to higher (lower) future volatility. We show that models exploiting these findings lead to significantly better out-of-sample forecast performance.