A forecasting analysis of risk‐neutral equity and Treasury volatilities

Date

2019

Authors

Nieto, Belén
Rubio Irigoyen, Gonzalo

Director

Publisher

Wiley
Acceso abierto / Sarbide irekia
Artículo / Artikulua
Versión aceptada / Onetsi den bertsioa

Project identifier

  • MINECO//ECO2015-67035-P/ES/ recolecta
  • ES/1PE/ECO2016-77631-R/
Impacto
No disponible en Scopus

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.

Description

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

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© 2019 John Wiley & Sons, Ltd.

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