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Macroeconomic determinants of stock volatility and volatility premiums
| Content Provider | Semantic Scholar |
|---|---|
| Author | Corradi, Valentina Distaso, Walter Mele, Antonio |
| Copyright Year | 2013 |
| Abstract | How does stock market volatility relate to the business cycle? We develop, and estimate, a no-arbitrage model, and find that (i) the level and fluctuations of stock volatility are largely explained by business cycle factors and (ii) some unobserved factor contributes to nearly 20% to the overall variation in volatility, although not to its ups and downs. Instead, this “volatility of volatility” relates to the business cycle. Finally, volatility risk-premiums are strongly countercyclical, even more than stock volatility, and partially explain the large swings of the VIX index during the 2007–2009 subprime crisis, which our model captures in out-of-sample experiments. |
| Starting Page | 203 |
| Ending Page | 220 |
| Page Count | 18 |
| File Format | PDF HTM / HTML |
| DOI | 10.1016/j.jmoneco.2012.10.019 |
| Volume Number | 60 |
| Alternate Webpage(s) | https://antoniomele.org/wp-content/uploads/macro_vol.pdf |
| Alternate Webpage(s) | https://antoniomele.org/wp-content/uploads/supplem_jme.pdf |
| Alternate Webpage(s) | https://doi.org/10.1016/j.jmoneco.2012.10.019 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
