NO NEWS IS GOOD-NEWS - AN ASYMMETRIC MODEL OF CHANGING VOLATILITY IN STOCK RETURNS
成果类型：
Article
署名作者：
CAMPBELL, JY; HENTSCHEL, L
署名单位：
National Bureau of Economic Research
刊物名称：
JOURNAL OF FINANCIAL ECONOMICS
ISSN/ISSBN：
0304-405X
DOI：
10.1016/0304-405X(92)90037-X
发表日期：
1992
页码：
281-318
关键词：
摘要：
It seems plausible that an increase in stock market volatility raises required stock returns, and thus lowers stock prices. We develop a formal model of this volatility feedback effect using a simple model of changing variance (a quadratic generalized autoregressive conditionally heteroskedastic, or QGARCH, model). Our model is asymmetric and helps to explain the negative skewness and excess kurtosis of U.S. monthly and daily stock returns over the period 1926-88. We find that volatility feedback normally has little effect on returns, but it can be important during periods of high volatility.