کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
958385 1478841 2014 21 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Modelling changes in the unconditional variance of long stock return series
ترجمه فارسی عنوان
مدل سازی تغییرات واریانس بدون قید و شرط سری های بازگشتی سهام طولانی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


• We model long-term volatility movements over very long return series.
• The modelling strategy is applied to 22986 daily returns of the DJIA stock index.
• The LM tests reject the assumption of constancy of the unconditional variance.
• The model outperforms other competing models in terms of forecasting accuracy.

In this paper we develop a testing and modelling procedure for describing the long-term volatility movements over very long daily return series. For this purpose we assume that volatility is multiplicatively decomposed into a conditional and an unconditional component as in Amado and Teräsvirta (2012, 2013). The latter component is modelled such that the unconditional time-varying component evolves slowly over time. Statistical inference is used for specifying the parameterization of the time-varying component by applying a sequence of Lagrange multiplier tests. The model building procedure is illustrated with an application to 22,986 daily returns of the Dow Jones Industrial Average stock index covering a period of more than ninety years. The main conclusions are as follows. First, the LM tests strongly reject the assumption of constancy of the unconditional variance. Second, the results show that the apparent long memory property in volatility may be interpreted as changes in the unconditional variance of the long series. Finally, based on a formal statistical test we find evidence of the superiority of volatility forecasting accuracy of the new model over the GJR-GARCH model at all horizons for eight subsets of the long return series.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 25, January 2014, Pages 15–35
نویسندگان
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