GOOD VOLATILITY, BAD VOLATILITY: SIGNED JUMPS AND THE PERSISTENCE OF VOLATILITY

• 成果类型: Article
• 署名作者: Patton, Andrew J.; Sheppard, Kevin
• 署名单位: Duke University; University of Oxford
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/REST_a_00503
• 发表日期: 2015-07
• 页码: 683-697
• 关键词: return; MODEL; exchange; STOCK; heteroskedasticity; covariance; news

摘要

Using estimators of the variation of positive and negative returns (realized semivariances) and high-frequency data for the S&P 500 Index and 105 individual stocks, this paper sheds new light on the predictability of equity price volatility. We show that future volatility is more strongly related to the volatility of past negative returns than to that of positive returns and that the impact of a price jump on volatility depends on the sign of the jump, with negative (positive) jumps leading to higher (lower) future volatility. We show that models exploiting these findings lead to significantly better out-of-sample forecast performance.