U.S. stock market crash risk, 1926-2010

• 成果类型: Article
• 署名作者: Bates, David S.
• 署名单位: University of Iowa; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.03.004
• 发表日期: 2012
• 页码: 229-259
• 关键词: Levy processes; Time-changed Levy processes; Stock market crashes; option pricing

摘要

This paper examines how well alternate time-changed Levy processes capture stochastic volatility and the substantial outliers observed in U.S. stock market returns over the past 85 years. The autocorrelation of daily stock market returns varies substantially over time, necessitating an additional state variable when analyzing historical data. I estimate various one- and two-factor stochastic volatility/Levy models with time-varying autocorrelation via extensions of the Bates (2006) methodology that provide filtered daily estimates of volatility and autocorrelation. The paper explores option pricing implications, including for the Volatility Index (VIX) during the recent financial crisis. (C) 2012 Elsevier B.V. All rights reserved.