Stochastic volatility and leverage: Application to a panel of S&P500 stocks
Küçük Resim Yok
Tarih
2015
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Academic Press Inc Elsevier Science
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
We estimate stochastic volatility leverage models for a panel of stock returns for 24 S&P 500 firms from six industries. News are measured as differences between daily return and a monthly moving average of past returns. We estimate the models by maximum likelihood using an Efficient Importance Sampling method which produces numerically highly accurate estimates of the likelihood and related test-statistics. We find significant leverage effects for all 24 stocks. These effects are fairly consistent within each industry but there are significant differences across two groups of industries. Our models produce significant improvement in volatility predictability. (C) 2014 Elsevier Inc. All rights reserved.
Açıklama
Anahtar Kelimeler
Stochastic Volatility, Leverage, Importance Sampling, Bayesian-Analysis, Behavior, Models
Kaynak
Finance Research Letters
WoS Q Değeri
Q4
Scopus Q Değeri
Q1
Cilt
12
