VIX and stock market volatility predictability: A new approach

被引：8

作者：

Liu, Zhichao ^{[1
]}

Liu, Jing ^{[2
]}

Zeng, Qing ^{[3
]}

Wu, Lan ^{[3
,4
]}

机构：

[1] Sichuan Agr Univ, Coll Management, Chengdu, Peoples R China

[2] Sichuan Univ, Business Sch, Chengdu, Sichuan, Peoples R China

[3] Southwest Jiaotong Univ, Sch Econ & Management, Chengdu, Peoples R China

[4] Chongqing Vocat Inst Engn, Chongqing, Peoples R China

来源：

FINANCE RESEARCH LETTERS | 2022年 / 48卷

关键词：

Volatility forecasting; Realized volatility; VIX; Threshold; SAMPLE; PREMIUM;

D O I：

10.1016/j.frl.2022.102887

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, an effective way to forecast stock volatility by selecting dynamic thresholds of the VIX is explored. We examine the predictability of the VIX and its above-threshold values for the S&P 500. Our results indicate that selecting thresholds for the VIX can significantly improve the forecast accuracy. From the out-of-sample R2 statistics, we find that the above-threshold VIX has a better forecasting performance during expansions.

引用

页数：5

共 19 条

[1]

Abakah E. J. A., 2021, FINANC RES LETT

[2] Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH [J].

Abul Basher, Syed ;

Sadorsky, Perry .

ENERGY ECONOMICS, 2016, 54 :235-247

[3] Answering the skeptics: Yes, standard volatility models do provide accurate forecasts [J].

Andersen, TG ;

Bollerslev, T .

INTERNATIONAL ECONOMIC REVIEW, 1998, 39 (04) :885-905

[4] Investor sentiment and the cross-section of stock returns [J].

Baker, Malcolm ;

Wurgler, Jeffrey .

JOURNAL OF FINANCE, 2006, 61 (04) :1645-1680

[5] The VIX, the variance premium and stock market volatility [J].

Bekaert, Geert ;

Hoerova, Marie .

JOURNAL OF ECONOMETRICS, 2014, 183 (02) :181-192

[6] Risk Everywhere: Modeling and Managing Volatility [J].

Bollerslev, Tim ;

Hood, Benjamin ;

Huss, John ;

Pedersen, Lasse Heje .

REVIEW OF FINANCIAL STUDIES, 2018, 31 (07) :2729-2773

[7] Predicting excess stock returns out of sample: Can anything beat the historical average? [J].

Campbell, John Y. ;

Thompson, Samuel B. .

REVIEW OF FINANCIAL STUDIES, 2008, 21 (04) :1509-1531

[8] Is investor sentiment stronger than VIX and uncertainty indices in predicting energy volatility? [J].

Chen, Zhonglu ;

Liang, Chao ;

Umar, Muhammad .

RESOURCES POLICY, 2021, 74

[9] Sample splitting and threshold estimation [J].

Hansen, BE .

ECONOMETRICA, 2000, 68 (03) :575-603

[10] The Model Confidence Set [J].

Hansen, Peter R. ;

Lunde, Asger ;

Nason, James M. .

ECONOMETRICA, 2011, 79 (02) :453-497

← 1 2 →