Download or read book Quantile Regression Estimation of Stock Market Volatility and Its Causes written by Alabi Oluwapelumi and published by . This book was released on 2017 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock market volatility is the amount of uncertainty or risk about the size of changes in stock market security value. In this study, GARCH model was built to generate stock price volatility and quantile regression estimation was used to determine the cause of volatility in stock market at different quantile level. The study provides the graphical presentation of the coefficients estimated and the variables employed. The results of the study showed that the previous residuals (ARCH effect) are significantly contributed to stock market volatility at lower quantile level (0.1, 0.25, and 0.5) and the previous volatility significant only at higher quantile level (0.9), while only exchange rate return is significant among the external causes considered.

Download or read book Minimizing Loss at Times of Financial Crisis written by David E. Allen and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The worldwide impact of the Global Financial Crisis on stock markets, investors and fund managers has lead to a renewed interest in tools for robust risk management. Quantile regression is a suitable candidate and deserves the interest of financial decision makers given its remarkable capabilities for capturing and explaining the behaviour of financial return series more effectively than the ordinary least squares regression methods which are the standard tool. In this paper we present quantile regression estimation as an attractive additional investment tool, which is more efficient than Ordinary Least Square in analyzing information across the quantiles of a distribution. This translates into the more accurate calibration of asset pricing models and subsequent informational gains in portfolio formation. We present empirical evidence of the effectiveness of quantile regression based techniques as applied across the quantiles of return distributions to derive information for portfolio formation. We show, via stocks in Dow Jones Industrial Index, that at times of financial setbacks such as the Global Financial Crisis, a portfolio of stocks formed using quantile regression in the context of the Fama-French three factor model, performs better than the one formed using traditional OLS.

Download or read book A Quantile Regression Analysis of the Cross Section of Stock Market Returns written by Michelle L. Barnes and published by . This book was released on 2002 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stock Market Analysis Volatility Forcasting and Effect of Macroeconomic Variables written by and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Scenario Analysis with the DD PD Mapping Approach Stock Market Shocks and U S Corporate Default Risk written by Mr. Jorge A Chan-Lau and published by International Monetary Fund. This book was released on 2021-05-20 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping, which links individual firms’ DD to their real world PD. Since changes in the DD depend on a handful of parameters, the mapping easily accommodates shocks arising from quantitative and narrative scenarios informed by expert judgment. At end-2020, risks from stock market corrections in the U.S. are concentrated in the energy, financial and technology sectors, and additional bank capital needs could be large. The paper concludes discussing uses of the mapping beyond PD valuation suitable for capital structure analysis, credit portfolio management, and long-term scenario planning analysis.

Download or read book Localized Quantile Regression of Realized Volatility written by Janaki Koralage and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Volatility is a financial term that measures the dispersion of asset returns. Calculating and predicting volatility are not simple, but there are several well-known models for determining the volatility of assets. In recent years, researchers have been interested in developing statistical methods to model financial volatility, and new concepts have been applied to achieve better results. Quantile regression is another area gaining increased attention in the analysis of financial data. In this thesis, we propose a new quantile regression model for measuring the volatility of financial assets called the localized quantile regression model. As the name suggests, the proposed model is a local model rather than a global model. It takes care of possible structural changes and makes predictions of volatility more reliable. The initial step in this approach is to identify the longest interval of homogeneity. Identifying this interval of homogeneity involves a sequential testing procedure. After identifying intervals, we can apply quantile regression for each homogeneous time interval. The main advantage of this method is that it does not require any distributional assumptions. Simulation studies are carried out to investigate the performance of the proposed method. Results obtained from the simulation study show that the localized quantile regression model is appropriate for modeling the volatility of financial assets.

Download or read book Idiosyncratic Risk and Stock Returns written by Tariq Aziz and published by . This book was released on 2016 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt: The relation between idiosyncratic risk and stock returns is currently a topic of debate in the academic literature. So far the evidence regarding the relation is mixed. This study aims to investigate the cross-sectional relation between idiosyncratic risk and stock returns in the Indian stock market employing quantile regressions. Using quantile regressions, this study demonstrates that idiosyncratic volatility and stock returns relation is quantile dependent. The relation between idiosyncratic volatility and stock returns is parabolic. The high idiosyncratic risk is associated with high (low) excess returns at the upper (lower) quantile of the conditional distribution. This partially explains the inconclusive evidence on the idiosyncratic volatility and the stock returns relation in the literature.

Download or read book The Quantile Regression Approach to Analysis of Dynamic Interaction Between Exchange Rate and Stock Returns in Emerging Markets written by Shekhar Mishra and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The present paper examines the dynamic interaction between stock returns and exchange rate changes in the emerging economies of BRIC (Brazil, Russia, India and China). The paper tries to analyze the portfolio balance effect according to which the two variables are expected to be negatively related. Since under non-normality conditions and heterogeneous conditional distribution, estimation using Ordinary Least Squares (OLS) method may be biased and not much favorable, quantile regression model is adopted to analyze the relationship between stock returns and exchange rate changes. The estimation shows similar patterns with significantly negative coefficients obtained from different quantile functions for Brazil, Russia and India. However, for China the coefficients are not so significantly negative. The negative coefficients indicate adherence of markets to portfolio balance effect. However, the coefficients can vary according to changing market conditions.

Download or read book Food Price Volatility and Its Implications for Food Security and Policy written by Matthias Kalkuhl and published by Springer. This book was released on 2016-04-12 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides fresh insights into concepts, methods and new research findings on the causes of excessive food price volatility. It also discusses the implications for food security and policy responses to mitigate excessive volatility. The approaches applied by the contributors range from on-the-ground surveys, to panel econometrics and innovative high-frequency time series analysis as well as computational economics methods. It offers policy analysts and decision-makers guidance on dealing with extreme volatility.

Download or read book Examining the Dynamic Relationship Between Volatility and Stock Returns Using Quantile Regression Approach written by 楊青融 and published by . This book was released on 2009 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stock Market Analysis Volatility Forecasting and Effect of Macroeconimic Variables written by Yixiu Zhao and published by . This book was released on 2018 with total page 440 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Examining Asymmetric Relationship Between India VIX Nifty 50 Returns and Trading Volume written by Arushi Gaur and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study investigated one of the vital issues on market microstructure, the relationship between volatility, stock returns and trading volume on Indian stock market for daily frequency from 2nd March 2009 to 31st July 2018. The investor's fear gauge measure of VIX was used as a volatility variable. The asymmetric impact of returns was estimated on volume and volatility changes. The MWALD granger test revealed that trading volume is undirectionally caused be negative returns and implied volatility VIX. Feedback relationship exists between positive returns, negative returns and VIX. Also positive and negative returns have a bi-directional causality. But the results of Toda-Yamamoto only capture the central values of dependent variable's distribution. Therefore we also estimate Quantile Regression models. The asymmetric significant relation of stock returns on changes of volatility and volume distribution was found and stronger at extreme ends of dependent variable's distribution. The study supports the behavioral justification for negative return-volatility contemporaneous relationship but not unconditionally. The evidence of volatility feedback and leverage hypothesis was also significant for lagged period. The contemporaneous negative relationship was found between volatility and volume changes highlighting that investors in India are risk-averse and informed. But the positive lagged effect of changes in volatility on trading volume supports SAIH and affirms the fact that when information gets assimilated with time, noise traders entre the market and increase liquidity. Thus their presence increases trading volume with increase in VIX level.

Download or read book The Econometric Analysis of Models with Risk Terms written by A. R. Pagan and published by London : Centre for Decision Sciences and Econometrics, University of Western Ontario. This book was released on 1986 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Quantile Regression Analysis of the Cross Section of Stock Market Returns written by Michelle L. Barnes and published by . This book was released on 2010 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Traditional methods of modelling returns and testing the Capital Asset Pricing Model (CAPM) do so at the mean of the conditional distribution. Instead, we model returns and test whether the conditional CAPM holds at other points of the distribution by utilizing the technique of quantile regression (Koenker and Bassett 1978). This method allows us to model the performance of firms or portfolios that underperform or overperform in the sense that the conditional mean under- or overpredicts the firm's return. In the context of a conditional CAPM, the market price of beta risk is significant in both tails of the conditional distribution of returns - negative for firms that underperform and positive for firms that overperform - but is insignificant around the median, and the opposite pattern obtains for large firms. Underperforming firms exhibit a positive relationship between size and returns in support of Merton's (1987) prediction, and there is some evidence of a positive relationship between returns and financial paper for overperforming firms. Quantile regression alleviates some of the statistical problems which plague CAPMstudies: errors invariables; omitted variables bias; sensitivity to outliers; and non-normal error distributions.

Download or read book The Quantile Heterogeneous Autoregressive Model of Realized Volatility written by Konstantin Kuck and published by . This book was released on 2018 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide a comprehensive view on volatility dynamics in precious metals and crude oil markets. Using high-frequency futures data, we construct realized volatilities and estimate (Quantile) Heterogeneous Autoregressive models for the daily volatility of Gold, Silver and Crude Oil futures. We model realized volatility as a linear function of lagged realized volatility measured over different time resolutions to explicitly account for the potentially heterogeneous impact of market participants with different trading motives and investment horizons. Using quantile regression allows us to identify potential non-linearities and asymmetries in the short-, mid- and long-term autoregressive dynamics with respect to different levels of current volatility. We document considerable changes in the relative importance of short-, mid-, and long-term volatility components under varying market conditions. The patterns that we identify are remarkably similar across the three assets. Specifically, past daily and monthly volatility have a strong impact on today's volatility, when current volatility is low (lower quantiles of the volatility distribution). The effect of past weekly volatility, however, increases distinctly from lower to higher quantiles of the conditional volatility distribution. The results might indicate considerable investor attention shifts and changes in the proportions of traders with different time horizons.

Download or read book Time Series and Panel Data Econometrics written by M. Hashem Pesaran and published by Oxford University Press, USA. This book was released on 2015 with total page 1095 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book describes and illustrates many advances that have taken place in a number of areas in theoretical and applied econometrics over the past four decades.

Download or read book written by and published by Springer Nature. This book was released on with total page 635 pages. Available in PDF, EPUB and Kindle. Book excerpt: