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Modeling the Volatility of US Excess Stock Returns: The Relationship Between Return and Variance

机译：美国超额股票收益率波动模型：收益率与方差之间的关系

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This paper examines the relationship between monthly US excess stock market return and its volatility using several GARCH models including the GJR GARCH-M and the Nelson’s EGARCH-M model. We find Nelson’s EGARCH-M model to fit the data the best and to pass most of the diagnostic tests. The relationship between risk and return is found to be negative but insignificant. Also there is strong evidence in favor of asymmetric respond of variance to negative and positive residuals using the EGARCH-M model. The monthly conditional volatility is shown to be not as persistence as those found in literature using daily returns.

机译：本文使用几种GARCH模型（包括GJR GARCH-M和Nelson的EGARCH-M模型）研究了美国每月超额股票市场收益与波动之间的关系。我们发现Nelson的EGARCH-M模型可以最好地拟合数据并通过大多数诊断测试。发现风险与收益之间的关系是消极的，但微不足道。也有强有力的证据支持使用EGARCH-M模型对方差对负残差和正残差的不对称响应。事实表明，每月的条件波动性不如文献中使用每日收益的持久性持久性。

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作者
Jalili Arash; Kanaani Alireza;
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年度 2009
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原文格式 PDF
正文语种 English
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Modeling the Volatility of US Excess Stock Returns: The Relationship Between Return and Variance

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