کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7375057 | 1480068 | 2018 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
How does stock market volatility react to NVIX? Evidence from developed countries
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: How does stock market volatility react to NVIX? Evidence from developed countries How does stock market volatility react to NVIX? Evidence from developed countries](/preview/png/7375057.png)
چکیده انگلیسی
This paper investigates the role of news implied volatility (NVIX), a measure of uncertainty, in long-term stock market volatility in developed markets. The results showed that NVIX has a positive and significant impact on stock market variances in the full sample period using the GARCH-MIDAS model. Furthermore, out-of-sample forecasting results showed that including NVIX generally improves forecasting performance; that is, the GARCH-MIDAS model, with the long-term component driven by realized volatility (RV) and NVIX, outperforms those with only RV in terms of forecasting performance.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 505, 1 September 2018, Pages 490-499
Journal: Physica A: Statistical Mechanics and its Applications - Volume 505, 1 September 2018, Pages 490-499
نویسندگان
Libing Fang, Yichuo Qian, Ying Chen, Honghai Yu,