Forecasting global stock market implied volatility indices

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Do macrofactors help forecasting stock market volatility?∗

This study examines several dynamic heteroskedastic factor model specifications to test for the confidence set of model parametrizations that best incorporate economy-wide information for forecasting stock market volatility. To this end, diffusion indices (i.e. factors) are distilled from two large sets of US excess stock returns and macroeconomic variables. Using 40 years of data, the main emp...

متن کامل

Forecasting Stock Market Volatility: Further International Evidence

This paper evaluates the out-of-sample forecasting accuracy of eleven models for monthly volatility in fifteen stock markets. Volatility is defined as within-month standard deviation of continuously compounded daily returns on the stock market index of each country for the ten-year period 1988 to 1997. The first half of the sample is retained for the estimation of parameters while the second ha...

متن کامل

Forecasting stock market volatility conditional on macroeconomic conditions

This paper presents a GARCH type volatility model with a time-varying unconditional volatility which is a function of macroeconomic information. It is an extension of the SPLINE GARCH model proposed by Engle and Rangel (2005). The advantage of the model proposed in this paper is that the macroeconomic information available (and/or forecasts) is used in the parameter estimation process. Based on...

متن کامل

FORECASTING FINANCIAL VOLATILITY: EVIDENCE FROM CHINESE STOCK MARKET by

Volatility models and their forecasts are of interest to many types of economic agents, especially for financial risk management. Since 1982 when Engle proposed the Autoregressive Conditionally Heteroscedastic (ARCH) model, there have emerged numerous models for forecasting volatility. Given the vast number of models available, agents must decide which one to use. This paper explores a number o...

متن کامل

Forecasting Financial Volatility: Evidence from Chinese Stock Market

Volatility models and their forecasts are of interest to many types of economic agents, especially for financial risk management. Since 1982 when Engle proposed the Autoregressive Conditionally Heteroscedastic (ARCH) model, there have emerged numerous models for forecasting volatility. Given the vast number of models available, agents must decide which one to use. This paper explores a number o...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Journal of Empirical Finance

سال: 2018

ISSN: 0927-5398

DOI: 10.1016/j.jempfin.2017.12.008