A comprehensive look at financial volatility prediction by economic variables (replication data)

DOI

We investigate whether return volatility is predictable by macroeconomic and financial variables to shed light on the economic drivers of financial volatility. Our approach is distinct owing to its comprehensiveness: First, we employ a data-rich forecast methodology to handle a large set of potential predictors in a Bayesian model-averaging approach and, second, we take a look at multiple asset classes (equities, foreign exchange, bonds and commodities) over long time spans. We find that proxies for credit risk and funding liquidity consistently show up as common predictors of volatility across asset classes. Variables capturing time-varying risk premia also perform well as predictors of volatility. While forecasts by macro-finance augmented models also achieve forecasting gains out-of-sample relative to autoregressive benchmarks, the performance varies across asset classes and over time.

Identifier
DOI https://doi.org/10.15456/jae.2022320.0729367048
Metadata Access https://www.da-ra.de/oaip/oai?verb=GetRecord&metadataPrefix=oai_dc&identifier=oai:oai.da-ra.de:775757
Provenance
Creator Christiansen, Charlotte; Schmeling, Maik; Schrimpf, Andreas
Publisher ZBW - Leibniz Informationszentrum Wirtschaft
Publication Year 2012
Rights Creative Commons Attribution 4.0 (CC-BY); Download
OpenAccess true
Contact ZBW - Leibniz Informationszentrum Wirtschaft
Representation
Language English
Resource Type Collection
Discipline Economics