The paper reveals that exchange rate series exhibits the empirical regularities such as clustering volatility, nonstationarity, non-normality and serial correlation that justify the application of the ARCH methodology.
The main policy implication of these results is that since exchange rate volatility exchange-rate risk may increase transaction costs and reduce the gains to international trade, knowledge of exchange rate volatility estimation and forecasting is important for asset pricing and risk management.
This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm levels. LVI" Policy makers need accurate forecasts about future values of exchange rates.
Market volatility tends to lead the other volatility series. Estimation procedures which incorporate the prior restriction that equilibrium expected excess returns on the market must be positive are derived and applied to return data for the period William Schwert, Robert F.
The expected market return is a number frequently required for the solution of many investment and corporate tinance problems, but by comparison with other tinancial variables, there has been little research on estimating this expected return.
In addition, the estimate for asymmetric volatility suggests that positive shocks imply a higher next period conditional variance than negative shocks of the same sign. A new general class of models is proposed which allows the power 6 of the heteroskedasticity equation to be estimated from the data.
This paper examines the relation between stock returns and stock market volatility. But our Monte-Carlo study shows that both ARCH type models based on squared returns and those based on absolute return can produce this property.
Current practice for estimating the expected market retu Journal of Mathematical FinanceVol. Factors that may be responsible for these findings are suggested.
Nelson" We find evidence that the expected market risk premium the expected return on a stock portfolio minus the Treasury bill yield is positively related to the predictable volatility of stock returns.
Accordingly, correlations among individual stocks and the explanatory power of the market model for a typical stock have declined, whereas the number of stocks needed to achieve a given level of diversification has increased. This result appears to argue against ARCH type specifications based upon squared returns.
There is also evidence that unexpected stock market returns are negatively related to the unexpected change in the volatility of stock returns. While this model explicitly reflects the dependence of the market return on the interest rate, it fails to account for the effect of changes in the level of market risk.
Campbell, Martin Lettau, Burton G.
All the volatility measures move together countercyclically and help to predict GDP growth. On estimating the expected return on the market -- an exploratory investigation by Robert C. Expected stock returns and volatility by Kenneth R.Studies of Stock Price Volatility Changes.
Proceedings of the Meetings of the American Statistical Association. Business and Economical Statistics Section, Christie, A. A., Article citations. More>> Black, F. () Studies of Stock Price Volatility Changes. In: Proceedings of the Meeting of the Business and Economic Statistics Section, American Statistical Association, Washington DC, Studies of stock price volatility changes.
In: proceedings of the Business Meeting of the Business and Economics Statistics Section, American Association, has been cited by the following article: Article. A Comparative Performance of Conventional Methods for Estimating Market Risk Using Value at Risk.
This paper examines the relation between stock returns and stock market volatility. We find evidence that the expected market risk premium (the expected return on a stock portfolio minus the Treasury bill yield) is positively.
Studies of Stock Price Volatility Changes Fischer Black, Massachusetts Institute of Technology This article explains the analysis of Fischer Black on the volatility of underlying shares that flow in the cash market. As a current student on this bumpy collegiate pathway, I stumbled upon Course Hero, where I can find study resources for nearly all my courses, get online help from tutors 24/7, and even share my old projects, papers, and lecture notes with other students.
Kiran Temple University Fox School of.Download