The role of news-based implied volatility among US financial markets

被引：39
|
作者：
Su, Zhi [1 ]
Fang, Tong [1 ]
Yin, Libo [2 ]
机构：
[1] Cent Univ Finance & Econ, Sch Stat & Math, Beijing, Peoples R China
[2] Cent Univ Finance & Econ, Sch Finance, 39 South Coll Rd, Beijing 100081, Peoples R China
来源：
ECONOMICS LETTERS | 2017年 / 157卷
基金：
中国国家自然科学基金;
关键词：
News-based implied volatility; Financial markets; Long-term volatility; Predictability; ECONOMIC-POLICY UNCERTAINTY; STOCK; SHOCKS;
D O I：
10.1016/j.econlet.2017.05.028
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We investigate the role of uncertainty measured by news-based implied volatility in anticipating US long-term market volatilities from a GARCH-MIDAS model. We find that news-based implied volatility performs well in predicting long-term aggregate market volatilities. A subsample analysis provides that the predictive power of news-based implied volatility is decreasing. (C) 2017 Elsevier B.V. All rights reserved.
引用
收藏
页码：24 / 27
页数：4
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