How does stock market volatility react to NVIX? Evidence from developed countries

被引：14

作者：

Fang, Libing ^{[1
]}

Qian, Yichuo ^{[1
]}

Chen, Ying ^{[1
]}

Yu, Honghai ^{[1
]}

机构：

[1] Nanjing Univ, Sch Management & Engn, Nanjing, Jiangsu, Peoples R China

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2018年 / 505卷

基金：

美国国家科学基金会;

关键词：

News-based implied volatility; Uncertainty; Stock market volatility; GARCH-MIDAS; ECONOMIC-POLICY UNCERTAINTY; MACROECONOMIC VARIABLES; REALIZED VOLATILITY; PREDICTIVE ACCURACY; MODELS; US; FORECAST; DISASTER;

D O I：

10.1016/j.physa.2018.03.039

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

This paper investigates the role of news implied volatility (NVIX), a measure of uncertainty, in long-term stock market volatility in developed markets. The results showed that NVIX has a positive and significant impact on stock market variances in the full sample period using the GARCH-MIDAS model. Furthermore, out-of-sample forecasting results showed that including NVIX generally improves forecasting performance; that is, the GARCH-MIDAS model, with the long-term component driven by realized volatility (RV) and NVIX, outperforms those with only RV in terms of forecasting performance. (C) 2018 Elsevier B.V. All rights reserved.

引用

页码：490 / 499

页数：10

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