文章基本信息

标题：The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective
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作者：Bonaccolto, Giovanni ; Caporin, Massimiliano
期刊名称：Journal of Risk and Financial Management
印刷版ISSN：1911-8074
出版年度：2016
卷号：9
期号：3
出版社：MDPI, Open Access Journal
摘要：Several market and macro-level variables influence the evolution of equity risk in addition to the well-known volatility persistence. However, the impact of those covariates might change depending on the risk level, being different between low and high volatility states. By combining equity risk estimates, obtained from the Realized Range Volatility, corrected for microstructure noise and jumps, and quantile regression methods, we evaluate the forecasting implications of the equity risk determinants in different volatility states and, without distributional assumptions on the realized range innovations, we recover both the points and the conditional distribution forecasts. In addition, we analyse how the the relationships among the involved variables evolve over time, through a rolling window procedure. The results show evidence of the selected variablesâ€™ relevant impacts and, particularly during periods of market stress, highlight heterogeneous effects across quantiles.
关键词：realized range volatility; quantile regression; volatility quantiles and density forecasting; forecast assessment