Publication: A forecasting analysis of risk‐neutral equity and Treasury volatilities
Consultable a partir de
2021-03-08
Date
2019
Authors
Director
Publisher
Wiley
Acceso abierto / Sarbide irekia
Artículo / Artikulua
Versión aceptada / Onetsi den bertsioa
Project identifier
MINECO//ECO2015-67035-P/ES/
ES/1PE/ECO2016-77631-R
ES/1PE/ECO2016-77631-R
Abstract
This paper employs equity (VIX) and Treasury (MOVE) risk‐neutral volatilities to assess their relative forecasting performance with respect to future real activity, stock and Treasury excess returns, and aggregate risk factors. The in‐sample evidence suggests that the square of VIX tends to dominate the square of MOVE. Out‐of‐sample predictive analysis, performed as a horse race between equity and Treasury risk‐neutral volatilities, shows that, contrary to earlier results, the square of VIX and MOVE tend to complement each other.
Keywords
Forecasting real activity, Predictability of asset returns, Risk‐neutral equity volatility, Risk‐neutral treasury volatility
Department
Gestión de Empresas / Enpresen Kudeaketa
Faculty/School
Degree
Doctorate program
Editor version
Funding entities
Generalitat Valenciana, Grant/Award Number: Prometeo/2017/158; UPNA Research Grant for Young Researchers, Edition 2018, Grant/Award Number: UPNA 2018; Bank of Spain, Grant/Award Number: 2016‐18; Ministry of Economics and Competitiveness, Grant/Award Numbers: ECO2015‐67035‐P and ECO2016‐77631‐R.
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