The effect of long memory in volatility on stock market fluctuations

• 成果类型: Article
• 署名作者: Christensen, Bent Jesper; Nielsen, Morten Orregaard
• 署名单位: Aarhus University; Cornell University
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest.89.4.684
• 发表日期: 2007-11
• 页码: 684-700
• 关键词: empirical-evidence; realized variance; RISK; return; MODEL; persistence

摘要

Recent empirical evidence demonstrates the presence of an important long-memory component in realized asset return volatility. We specify and estimate multivariate models for the joint dynamics of stock returns and volatility that allow for long memory in volatility without imposing this property on returns. Asset pricing theory imposes testable cross-equation restrictions on the system that are not rejected in our preferred specifications, which include a strong financial leverage effect. We show that the impact of volatility shocks on stock prices is small and short lived, in spite of a positive risk-return tradeoff and long memory in volatility.