title: Anticipating Long-Term Stock Market Volatility
creator: Conrad, Christian
creator: Loch, Karin
subject: ddc-330
subject: 330 Economics
description: We investigate the relationship between long-term U.S. stock market risks and the macroeconomic environment using a two component GARCH-MIDAS model. Our results provide strong evidence in favor of counter-cyclical behavior of long-term stock market volatility. Among the various macro variables in our dataset the term spread, housing starts, corporate profits and the unemployment rate have the highest predictive ability for stock market volatility . While the term spread and housing starts are leading variables with respect to stock market volatility, for corporate profits and the unemployment rate expectations data from the Survey of Professional Forecasters regarding the future development are most informative. Our results suggest that macro variables carry information on stock market risk beyond that contained in lagged realized volatilities, in particular when it comes to long-term forecasting.
date: 2012
type: Working paper
type: info:eu-repo/semantics/workingPaper
type: NonPeerReviewed
format: application/pdf
identifier: https://archiv.ub.uni-heidelberg.de/volltextserverhttps://archiv.ub.uni-heidelberg.de/volltextserver/13822/1/Conrad_Loch_2012_dp535.pdf
identifier: DOI:10.11588/heidok.00013822
identifier: urn:nbn:de:bsz:16-opus-138228
identifier:   Conrad, Christian ; Loch, Karin  (2012) Anticipating Long-Term Stock Market Volatility.  [Working paper]     
relation: https://archiv.ub.uni-heidelberg.de/volltextserver/13822/
rights: info:eu-repo/semantics/openAccess
rights: http://archiv.ub.uni-heidelberg.de/volltextserver/help/license_urhg.html
language: eng