英文标题：
《Volatility Forecasts Using Nonlinear Leverage Effects》
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作者：
Kenichiro McAlinn, Asahi Ushio, Teruo Nakatsuma
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最新提交年份：
2017
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英文摘要：
The leverage effect-- the correlation between an asset\'s return and its volatility-- has played a key role in forecasting and understanding volatility and risk. While it is a long standing consensus that leverage effects exist and improve forecasts, empirical evidence paradoxically do not show that most individual stocks exhibit this phenomena, mischaracterizing risk and therefore leading to poor predictive performance. We examine this paradox, with the goal to improve density forecasts, by relaxing the assumption of linearity in the leverage effect. Nonlinear generalizations of the leverage effect are proposed within the Bayesian stochastic volatility framework in order to capture flexible leverage structures, where small fluctuations in prices have a different effect from large shocks. Efficient Bayesian sequential computation is developed and implemented to estimate this effect in a practical, on-line manner. Examining 615 stocks that comprise the S\\&P500 and Nikkei 225, we find that relaxing the linear assumption to our proposed nonlinear leverage effect function improves predictive performances for 89\\% of all stocks compared to the conventional model assumption.
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中文摘要：
杠杆效应——资产回报率与其波动率之间的相关性——在预测和理解波动率和风险方面发挥了关键作用。虽然杠杆效应存在并改善预测是长期以来的共识，但矛盾的是，经验证据并没有表明大多数个股都表现出这种现象，从而错误地描述了风险，从而导致预测表现不佳。我们通过放松杠杆效应中的线性假设来检验这一悖论，目的是改进密度预测。在贝叶斯随机波动率框架内，提出了杠杆效应的非线性推广，以获取灵活的杠杆结构，其中价格的小波动与大冲击的影响不同。开发并实现了高效的贝叶斯序列计算，以实用的在线方式估计这种影响。通过对615只包括标准普尔500指数和日经225指数的股票进行检验，我们发现，与传统模型假设相比，将线性假设放松到我们提出的非线性杠杆效应函数可以提高89%股票的预测性能。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Statistics 统计学
二级分类：Applications 应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
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