realized stock return volatility
Forecasting Stock Return Volatility: A Comparison of GARCH, Implied Volatility, and Realized Volatility Models
... implied volatility using the S&P500 futures and options index is by Ederington and Guan (2002), where they adopt an averaging approach on forecast combinations taking into account averages proposed by both the ...
37
Realized Volatility Forecasting with Neural Networks
... predicting stock market volatility has received growing attention from both academics and practitioners over the last ...that stock return volatil- ity varies over time (Engle (1982); ...
33
Volatility risk and stock return predictability on global financial crises
... and realized variation, or the variance risk premium (VRP), has a significantly positive predictability for a nontrivial fraction of the time-series variation in post-1990 aggregate stock market ...future ...
295
Implied idiosyncratic volatility and stock return predictability
... implied volatility accounts for ...lized volatility values drop between 20 to 30 ...(2) volatility forecast models present a higher idiosyncratic volatility than the historical and implied ...
17
Essays on risk, stock return volatility and R&D intensity
... According to Penman and Reggiani (2013), accounting conservatism deals with uncer- tainty by deferring the recognition of earnings until uncertainty has been largely resolved. Earnings deferral by expensing R&D ...
147
Implied Idiosyncratic Volatility and Stock Return Predictability
... the stock options traded at the American Stock Exchange and the Chicago Board Op- tions Exchange (CBOE) for the period from January 2001 to December ...daily return per stock and the market ...
16
Option implied volatility measures and stock return predictability
... option-implied volatility measure at the end of the previous ...implied volatility spread ( CPIV ) is the difference between the average implied volatility of at-the-money calls and minus the average ...
42
Intra Day Realized Volatility for European and USA Stock Indices
... financial-time return series xv and Christensen’s et al. (2010) quantile- based realized variance may be compared to the realized volatility measures, in order to exploit possible advantages ...
27
Volatility Interruptions, idiosyncratic risk, and stock return
... idiosyncratic volatility and the cross sectional of stock ...lagged realized idiosyncratic risk and returns, while Fu (2009) shows a positive relation between conditional idiosyncratic ...
81
The Distribution of Stock Return Volatility
... of realized da ily volatility and correlation obtained from high- frequency intraday stock prices to confirm, solidify and extend existing characteriza ...by realized standa rd deviations, and ...
43
Multivariate Realized Stock Market Volatility
... high-frequency return interval ( 4 ) for a number of ...high-frequency stock returns (see Campbell, Lo and MacKinlay ...finest return interval possible will lead to the most precise measure of ...
62
Environmental Disclosure Practices and Stock Market Return Volatility in The Nigerian Stock Market
... and Stock return of ...of stock return of companies listed on the Nairobi Stock ...market return was generally viewed to be an infringement on the performance of firms and ...
14
Stock Price Information Content, Idiosyncratic Volatility and Expected Return
... idiosyncratic volatility on the expected return from the perspective of stock price’s information content, and use Chinese A-share market data, from 1994 to 2013, to do the empirical ...of ...
11
Asymmetric Impact of Informed Trading Activity on Stock Return Volatility
... Spread is the bid-ask spread to control level of liquidity, and both Recession and VIX are market-level data and cannot be used under Fama-MacBeth framework. Please see table description for the in-sample construction ...
7
Modeling and Forecasting Realized Volatility
... daily volatility models in common use, for which the mechanics of including additional explanatory variables are much more complicated and typically not entertained, we restrict our attention to the simple ...
48
Are there Structural Breaks in Realized Volatility?
... volatility. We focus on a logarithmic HAR specification similar to Andersen et al. (2006), and an extension to include GARCH effects. We test for multiple structural breaks using the change-point (or structural ...
41
Do political events affect stock return volatility on Indonesian Stock Exchange
... Political events have signifi cant effect on the volatility of trading shares listed on the Indonesia Stock Exchange (IDX). Presence (absence) of agenda/activities in the period of Presidential Election ...
10
Seasonality of Cross sectional Return Volatility in the Jordan Stock Market
... between volatility and institutional ownership based on the firm’s dividends policy particularly around the dividend declaration ...low volatility, and low price ...and stock return ...the ...
9
Bootstrapping realized multivariate volatility measures
... the realized regression estimator, comparing the standard Eicker-White robust variance estimator with the more involved estimator of the variance proposed by BN-S ...
39
HAR Modeling for Realized Volatility Forecasting
... short-term volatility does not affect the trading strategies of long-term ...long-term volatility matters because it determines the expected future size of trends and ...
24