Pricing volatility of stock returns with volatile and persistent components

被引：2

作者：

Zhu J. ^{[1
]}

机构：

[1] School of Economics and Management, Aarhus University and CREATES, 8000 Aarhus C

来源：

Financial Markets and Portfolio Management | 2009年 / 23卷 / 3期

关键词：

In-mean effect; Innovations; Long memory; Risk return; Volatility;

D O I：

10.1007/s11408-009-0107-0

中图分类号：

学科分类号：

摘要：

This paper introduces a two-component volatility model based on first moments of both components to describe the dynamics of speculative return volatility. The two components capture the volatile and the persistent part of volatility, respectively. The model is applied to 10 Asia-Pacific stock markets. Their in-mean effects on returns are tested. The empirical results show that the persistent component is much more important for the volatility dynamic process than is the volatile component. However, the volatile component is found to be a significant pricing factor of asset returns for most markets. A positive or risk-premium effect exists between the return and the volatile component, yet the persistent component is not significantly priced for the return dynamic process. © Swiss Society for Financial Market Research 2009.

引用

页码：243 / 269

页数：26

共 48 条

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