Artikel
Asymmetric realized volatility risk
In this paper, we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation measures are nearly Gaussian, this unpredictability brings considerably more uncertainty to the empirically relevant ex ante distribution of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized volatility model, which incorporates the fact that realized volatility series are systematically more volatile in high volatility periods. Returns in this framework display time varying volatility, skewness and kurtosis. We provide a detailed account of the empirical advantages of the model using data on the S&P 500 index and eight other indexes and stocks.
- Sprache
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Englisch
- Erschienen in
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Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 7 ; Year: 2014 ; Issue: 2 ; Pages: 80-109 ; Basel: MDPI
- Klassifikation
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Wirtschaft
Financial Econometrics
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
realized volatility
volatility of volatility
volatility risk
value-at-risk
forecasting
conditional heteroskedasticity
- Ereignis
-
Geistige Schöpfung
- (wer)
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Allen, David E.
McAleer, Michael
Scharth, Marcel
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2014
- DOI
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doi:10.3390/jrfm7020080
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Allen, David E.
- McAleer, Michael
- Scharth, Marcel
- MDPI
Entstanden
- 2014
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