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Can idiosyncratic volatility help forecast stock market volatility?

โœ Scribed by Nicholas Taylor

Book ID
113647996
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
492 KB
Volume
24
Category
Article
ISSN
0169-2070

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โœ Chris Brooks ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 246 KB ๐Ÿ‘ 1 views

This paper explores a number of statistical models for predicting the daily stock return volatility of an aggregate of all stocks traded on the NYSE. An application of linear and non-linear Granger causality tests highlights evidence of bidirectional causality, although the relationship is stronger