NO NEWS IS GOOD-NEWS - AN ASYMMETRIC MODEL OF CHANGING VOLATILITY IN STOCK RETURNS

被引：952

作者：

CAMPBELL, JY ^{[1
]}

HENTSCHEL, L ^{[1
]}

机构：

[1] NATL BUR ECON RES,CAMBRIDGE,MA 02138

来源：

JOURNAL OF FINANCIAL ECONOMICS | 1992年 / 31卷 / 03期

基金：

美国国家科学基金会;

关键词：

D O I：

10.1016/0304-405X(92)90037-X

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

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.

引用

页码：281 / 318

页数：38

共 34 条

[1] CONDITIONAL HETEROSCEDASTICITY IN TIME-SERIES OF STOCK RETURNS - EVIDENCE AND FORECASTS [J].