کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5069555 1476992 2015 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Stochastic volatility and leverage: Application to a panel of S&P500 stocks
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Stochastic volatility and leverage: Application to a panel of S&P500 stocks
چکیده انگلیسی


- Estimation of stochastic volatility leverage models for a panel of stock returns for 24 S&P500 firms from six industries.
- News are measured as differences between daily return and a monthly moving average of past returns.
- Highly significant statistical evidence of the news feedback on volatility.
- Four sectors in our data set exhibit significant and internally fairly consistent leverage effects.
- For two sectors there is a negative partial correlation between volatility and news.

We estimate stochastic volatility leverage models for a panel of stock returns for 24 S&P 500 firms from six industries. News are measured as differences between daily return and a monthly moving average of past returns. We estimate the models by maximum likelihood using an Efficient Importance Sampling method which produces numerically highly accurate estimates of the likelihood and related test-statistics. We find significant leverage effects for all 24 stocks. These effects are fairly consistent within each industry but there are significant differences across two groups of industries. Our models produce significant improvement in volatility predictability.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 12, February 2015, Pages 67-76
نویسندگان
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