Predictive models for disaggregate stock market volatility
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AbstractThis paper incorporates macroeconomic determinants into the forecasting model of industry-level stock return volatility in order to detect whether different macroeconomic factors can forecast the volatility of various industries. To explain different fluctuation characteristics among industries, we identified a set of macroeconomic determinants to examine their effects. The Clark and West (J Econom 138(1):291–311, 2007) test is employed to verify whether the new forecasting models, which vary among industries based on the in-sample results, make better predictions than the two benchmark models. Our results show that default return and default yield have a significant impact on stock return volatility.
All Author(s) ListTerence Tai Leung Chong, Shiyu Lin
Journal nameFinancial Markets and Portfolio Management
Detailed descriptionTerence Tai Leung Chong, Shiyu Lin
Year2017
Month8
Volume Number31
Issue Number3
PublisherSpringer
Pages261 - 288
ISSN1555-4961
LanguagesEnglish-United States
KeywordsIndustry-level stock return volatility ,Out-of-sample forecast ,Granger causality

Last updated on 2020-05-08 at 06:00