eprintid: 13822
rev_number: 14
eprint_status: archive
userid: 1
dir: disk0/00/01/38/22
datestamp: 2012-10-05 15:38:18
lastmod: 2015-04-21 09:26:43
status_changed: 2012-10-17 14:00:52
type: workingPaper
metadata_visibility: show
creators_name: Conrad, Christian
creators_name: Loch, Karin
title: Anticipating Long-Term Stock Market Volatility
ispublished: pub
subjects: ddc-330
divisions: i-181000
keywords: Volatility Components , MIDAS , Survey Data , Macro Finance Link
abstract: 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.
abstract_translated_lang: eng
class_scheme: jel
class_labels: C53, C58
date: 2012
date_type: published
id_scheme: DOI
id_number: 10.11588/heidok.00013822
schriftenreihe_cluster_id: sr-3
schriftenreihe_order: 0535
ppn_swb: 1651777543
own_urn: urn:nbn:de:bsz:16-opus-138228
language: eng
bibsort: CONRADCHRIANTICIPATI2012
full_text_status: public
citation:   Conrad, Christian ; Loch, Karin  (2012) Anticipating Long-Term Stock Market Volatility.  [Working paper]     
document_url: https://archiv.ub.uni-heidelberg.de/volltextserver/13822/1/Conrad_Loch_2012_dp535.pdf