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Forecasting Risk with Markov-Switching GARCH Models : A Large-Scale Performance Study

Ardia, David - 2019

We perform a large-scale empirical study to compare the forecasting performance of single-regime and Markov-switching GARCH (MSGARCH) models from a risk management perspective. We find that, for daily, weekly, and ten-day equity log-returns, MSGARCH models yield more accurate Value-at-Risk,...

Persistent link: https://www.econbiz.de/10012902294

International Volatility Risk and Chinese Stock Return Predictability

Chen, Jian - 2017

This paper investigates the predictive ability of international volatility risk for the daily aggregate Chinese stock market returns. We employ the innovations in implied volatility indices of seven major international markets as our international volatility risk proxies. We find that...

Persistent link: https://www.econbiz.de/10012972144

Risk spillovers in international equity portfolios

Bonato, Matteo; Caporin, Massimiliano; Ranaldo, Angelo - 2012

We define risk spillover as the dependence of a given asset variance on the past covariances and variances of other assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an international equity portfolio. According to the risk...

Persistent link: https://www.econbiz.de/10010407672

Economic Policy Uncertainty in China and Stock Market Expected Returns

Chen, Jian - 2017

We investigate the impact of China's economic policy uncertainty (EPU) on the time series variation of Chinese stock market expected returns. Using the news based measure in Baker, Bloom, and Davis (2016), we find that EPU predicts negatively future stock market return at various horizons. This...

Persistent link: https://www.econbiz.de/10012968808

Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

Pesaran, Bahram; Pesaran, M. Hashem - 2010

version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and show that the t-DCC model …

Persistent link: https://www.econbiz.de/10003965868

Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash

Pesaran, Bahram - 2013

version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and show that the t-DCC model …

Persistent link: https://www.econbiz.de/10013094817

Uncertainty due to infectious diseases and stock-bond correlation

Gillas, Konstantinos Gkillas; Konstantatos, Christoforos; … - In: Econometrics : open access journal 9 (2021) 2, pp. 1-18

We study the non-linear causal relation between uncertainty-due-to-infectious-diseases and stock-bond correlation. To … this end, we use high-frequency 1-min data to compute daily realized measures of correlation and jumps, and then, we employ … this type of uncertainty on realized stock-bond correlation and jumps. Our findings reveal that uncertainty …

Persistent link: https://www.econbiz.de/10012504028

Portfolio Return Prediction and Risk Price Heterogeneity

Taylor, Nicholas - 2023

A model of portfolio return dynamics is considered in which the price of risk is permitted to be heterogeneous. In doing this, a novel method is proposed that delivers improved out-of-sample forecasts of portfolio returns. The main innovation is the use of a set of predictors that account for...

Persistent link: https://www.econbiz.de/10014350699

Predicting Equity Risk Premium Using the Smooth Cross-Sectional Tail Risk : The Importance of Correlation

Faias, José Afonso - 2018

We provide a new monthly cross-sectional measure of stock market tail risk, defined as the average of the daily cross-sectional tail risk, rather than the tail risk of the pooled daily returns within a month. The former better captures monthly tail risk rather than merely the tail risk on...

Persistent link: https://www.econbiz.de/10012936981

Forecasting the Risk of Speculative Assets by Means of Copula Distributions

Beckers, Benjamin - 2013

The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of financial returns and portfolio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and expected shortfall forecasts that exploits the...

Persistent link: https://www.econbiz.de/10013084434