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首页> 外文期刊>The North American journal of economics and finance >International implied volatility risk indexes and Saudi stock return-volatility predictabilities
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International implied volatility risk indexes and Saudi stock return-volatility predictabilities

机译：国际隐含波动率风险指数和沙特股票收益波动率可预测性

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摘要

This paper investigates the dynamic conditional correlation and the predictability between the Saudi stock return and international volatility risks indexes. Using a combined regression framework based on the DCC-GARCH (1.1) and CCF-Approaches, we find that the short-run and long-run persistence of shocks on the dynamic conditional correlation are evident for the all sample peers. Particularly, the United States volatility risk index is dominant in forecasting Saudi stock market returns, whether for the in-sample analysis or the out-of-sample analysis and even after controlling for Saudi domestic volatility measures and others international volatility risk indexes. The cross-correlation tests corroborate also a higher presence of spreading shocks of volatility from the Saudi market return to international volatility risks related to financial markets, more so than the commodities markets.
机译：本文研究了沙特股票收益率与国际波动风险指数之间的动态条件相关性和可预测性。使用基于DCC-GARCH（1.1）和CCF-方法的组合回归框架，我们发现对于所有样本同伴，动态条件相关性的冲击的短期和长期持久性都是明显的。尤其是，无论是进行样本内分析还是样本外分析，甚至在控制了沙特国内波动率衡量指标和其他国际波动率风险指标之后，美国波动率风险指数在预测沙特股票市场收益中都占主导地位。互相关检验还证实，从沙特市场回归到与金融市场相关的国际波动风险的波动性震荡蔓延比商品市场更大。

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