کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
997704 1481465 2009 24 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Asymmetric effects and long memory in the volatility of Dow Jones stocks
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
Asymmetric effects and long memory in the volatility of Dow Jones stocks
چکیده انگلیسی

Does volatility reflect a continuous reaction to past shocks or do changes in the markets induce shifts in the volatility dynamics? In this paper, we provide empirical evidence that cumulated price variations convey meaningful information about multiple regimes in the realized volatility of stocks, where large falls (rises) in prices are linked to persistent regimes of high (low) variance in stock returns. Incorporating past cumulated daily returns as an explanatory variable in a flexible and systematic nonlinear framework, we estimate that falls of different magnitudes over less than two months are associated with volatility levels 20% and 60% higher than the average of periods with stable or rising prices. We show that this effect accounts for large empirical values of long memory parameter estimates. Finally, we show that, while introducing more realistic dynamics for volatility, the model is able to overall improve or at least retain out-of-sample performance in forecasting when compared to standard methods. Most importantly, the model is more robust to periods of financial crises, when it attains significantly better forecasts.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Journal of Forecasting - Volume 25, Issue 2, April–June 2009, Pages 304–327
نویسندگان
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