文章基本信息

标题：Asymmetric Realized Volatility Risk
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作者：Allen, David ; McAleer, Michael ; Scharth, Marcel 等
期刊名称：Journal of Risk and Financial Management
印刷版ISSN：1911-8074
出版年度：2014
卷号：7
期号：2
页码：80-109
出版社：MDPI, Open Access Journal
摘要：In this paper, we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation measures are nearly Gaussian, this unpredictability brings considerably more uncertainty to the empirically relevant ex ante distribution of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized volatility model, which incorporates the fact that realized volatility series are systematically more volatile in high volatility periods. Returns in this framework display time varying volatility, skewness and kurtosis. We provide a detailed account of the empirical advantages of the model using data on the S&P 500 index and eight other indexes and stocks.
关键词：realized volatility; volatility of volatility; volatility risk; value-at-risk; forecasting; conditional heteroskedasticity