The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective
Abstract
:1. Introduction
2. Realized Volatilities and Conditioning Variables
3. Modelling the Realized Range Conditional Quantiles
4. Density Forecast and Predictive Accuracy
5. Empirical Results
5.1. Full-Sample Analyses
5.2. Rolling Analysis
5.3. Evaluation of the Predictive Power
5.4. Single-Asset Results
6. Conclusions
Acknowledgments
Author Contributions
Conflicts of Interest
References
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Variable | Coefficient Value | p-Value |
---|---|---|
0.24157 | 0.00548 | |
0.15385 | 0.03927 | |
0.00020 | 0.00001 | |
0.17431 | ||
0.87638 | 0.03242 | |
0.44580 | 0.00000 | |
0.28779 | 0.00013 | |
0.00019 | 0.00006 | |
0.00002 | ||
0.77113 | 0.01017 | |
1.44195 | 0.00000 | |
0.15027 | 0.52722 | |
0.87801 | ||
0.00000 | ||
0.90576 |
τ | |||
---|---|---|---|
Unrestricted Model | Restricted Model | p-Value | |
0.1 | 0.3655 | 0.2940 | 0.0000 |
0.2 | 0.4439 | 0.3785 | 0.0000 |
0.3 | 0.5005 | 0.4422 | 0.0000 |
0.4 | 0.5427 | 0.4952 | 0.0000 |
0.5 | 0.5801 | 0.5396 | 0.0000 |
0.6 | 0.6142 | 0.5803 | 0.0000 |
0.7 | 0.6474 | 0.6223 | 0.0000 |
0.8 | 0.6865 | 0.6755 | 0.0007 |
0.9 | 0.7492 | 0.7467 | 0.9123 |
Stocks | Intercept | |||||
---|---|---|---|---|---|---|
ATT | (11.24) | 4.589 (70.99) | 28.691 (0.12) | 0.002 (0.27) | 0.055 (0.09) | 3.515 (21.81) |
BAC | (0.02) | 25.007 (0.00) | 14.869 (1.09) | 0.005 (0.01) | (18.18) | (99.31) |
BOI | (0.09) | 15.852 (0.96) | 21.132 (0.01) | 0.004 (0.01) | (0.01) | 4.509 (37.15) |
CAT | (0.00) | 10.649 (19.31) | 25.142 (0.00) | 0.006 (0.00) | (0.695) | (99.97) |
CTG | (0.00) | 18.252 (3.74) | 12.645 (8.61) | 0.012 (0.00) | (8.24) | 95.128 (0.09) |
FDX | (0.00) | 18.287 (0.46) | 23.422 (0.00) | 0.006 (0.00) | (0.34) | (11.99) |
HON | (0.00) | 7.855 (36.51) | 26.336 (0.01) | 0.005 (0.00) | (0.05) | 1.054 (70.67) |
HPQ | (1.75) | 16.799 (0.85) | 15.327 (0.33) | 0.003 (0.00) | (0.21) | (99.12) |
IBM | (0.09) | 13.709 (19.22) | 22.922 (0.09) | 0.002 (0.01) | (0.39) | 23.369 (3.12) |
JPM | (0.02) | 23.775 (2.59) | 14.460 (10.22) | 0.008 (0.01) | (13.31) | 2.273 (89.03) |
MDZ | (0.00) | 8.280 (1.17) | 19.490 (0.00) | 0.002 (0.00) | (0.49) | (82.09) |
PEP | (0.03) | (76.78) | 26.404 (0.00) | 0.003 (0.00) | (6.06) | 6.751 (32.14) |
PRG | (0.08) | 1.883 (86.89) | 0.483 (91.48) | 0.003 (0.00) | (0.72) | 10.243 (49.12) |
TWX | (1.15) | 13.005 (19.93) | 29.034 (0.00) | 0.003 (0.16) | (0.03) | 18.752 (0.85) |
TXN | (19.32) | 9.522 (16.87) | 32.663 (0.00) | 0.002 (0.38) | (0.00) | 0.907 (82.14) |
WFC | (0.00) | 20.878 (0.269) | 20.321 (0.02) | 0.005 (0.00) | (0.25) | (99.77) |
ATT | (12.24) | 30.163 (0.67) | 52.921 (0.00) | 0.001 (4.07) | (0.00) | (91.67) |
BAC | (0.19) | 38.505 (0.00) | 40.227 (0.00) | 0.005 (0.14) | (0.00) | 14.596 (66.46) |
BOI | (0.01) | 36.842 (0.00) | 36.566 (0.00) | 0.005 (0.00) | (0.00) | 7.570 (35.86) |
CAT | (0.00) | 40.863 (0.00) | 40.806 (0.00) | 0.005 (0.00) | (0.00) | (99.25) |
CTG | (0.06) | 44.363 (0.00) | 25.602 (0.04) | 0.013 (0.05) | (0.41) | 71.026 (2.39) |
FDX | (0.00) | 33.461 (0.00) | 44.110 (0.00) | 0.005 (0.00) | (0.00) | (11.64) |
HON | (0.01) | 33.249 (0.02) | 42.692 (0.00) | 0.004 (0.00) | (0.00) | (34.55) |
HPQ | (0.07) | 33.324 (0.00) | 39.040 (0.00) | 0.003 (0.00) | (0.00) | (69.97) |
IBM | (0.14) | 33.790 (0.01) | 42.321 (0.00) | 0.002 (0.03) | (0.00) | 39.259 (15.63) |
JPM | (0.01) | 50.524 (0.00) | 26.286 (0.00) | 0.007 (0.01) | (0.00) | (92.41) |
MDZ | (0.00) | 30.852 (0.00) | 36.733 (0.00) | 0.003 (0.00) | (0.00) | (70.27) |
PEP | (0.01) | 31.618 (3.74) | 39.554 (0.57) | 0.002 (0.00) | (0.00) | 3.569 (60.58) |
PRG | (0.22) | 11.543 (65.76) | 21.804 (20.76) | 0.005 (0.13) | (0.55) | 120.000 (10.11) |
TWX | (0.01) | 37.437 (0.00) | 39.468 (0.00) | 0.003 (0.00) | (0.00) | 18.763 (2.51) |
TXN | (24.69) | 27.555 (0.00) | 49.860 (0.00) | 0.002 (0.63) | (0.00) | (91.84) |
WFC | (0.59) | 37.207 (0.00) | 43.713 (0.00) | 0.005 (0.52) | (0.00) | (99.18) |
ATT | (32.72) | 70.584 (0.00) | 69.582 (0.00) | 0.002 (14.33) | (0.00) | 0.282 (98.09) |
BAC | (60.02) | 104.077 (0.00) | 48.227 (0.39) | 0.002 (60.64) | (0.02) | 156.280 (21.58) |
BOI | (17.55) | 60.555 (0.01) | 79.933 (0.00) | 0.004 (14.54) | (0.00) | (97.86) |
CAT | (40.02) | 79.303 (0.00) | 61.374 (0.00) | 0.003 (22.98) | (0.00) | (99.14) |
CTG | (86.81) | 158.940 (0.11) | 19.051 (54.87) | 0.001 (83.97) | (0.02) | (15.63) |
FDX | (16.06) | 57.441 (0.00) | 78.243 (0.00) | 0.004 (6.12) | (0.00) | (44.62) |
HON | (9.87) | 69.621 (0.00) | 60.597 (0.00) | 0.005 (3.83) | (0.00) | (92.34) |
HPQ | (12.83) | 72.014 (0.00) | 66.113 (0.00) | 0.004 (4.62) | (0.00) | (47.36) |
IBM | (84.22) | 55.602 (2.08) | 101.283 (0.02) | 0.000 (89.26) | (0.00) | 41.659 (55.83) |
JPM | (6.25) | 134.345 (0.00) | 17.516 (5.77) | 0.006 (6.81) | (0.00) | 155.650 (8.94) |
MDZ | 0.000 (97.15) | 86.207 (0.00) | 53.696 (0.18) | 0.001 (50.69) | (0.00) | -3.639 (23.02) |
PEP | 0.000 (91.96) | 36.885 (36.23) | 117.046 (2.80) | 0.000 (86.11) | (0.28) | (96.86) |
PRG | (2.21) | 59.766 (16.98) | 47.298 (13.89) | 0.004 (1.35) | (0.01) | 152.132 (37.35) |
TWX | (0.48) | 86.695 (0.00) | 52.144 (0.00) | 0.004 (0.42) | (0.00) | (94.69) |
TXN | (0.22) | 56.407 (0.00) | 80.214 (0.00) | 0.007 (0.03) | (0.00) | 4.170 (60.83) |
WFC | (57.68) | 94.470 (0.00) | 64.679 (0.00) | 0.002 (53.26) | (0.00) | (99.59) |
Asset | ||
---|---|---|
ATT | 10.23 (0.0167) | 150.26 (0.0000) |
BAC | 3.00 (0.3916) | 125.11 (0.0000) |
BOI | 7.90 (0.04812) | 93.09 (0.0000) |
CAT | 9.31 (0.0254) | 88.11 (0.0000) |
CTG | 4.28 (0.2327) | 142.99 (0.0000) |
FDX | 12.62 (0.0055) | 95.63 (0.0000) |
HON | 5.95 (0.1140) | 115.59 (0.0000) |
HPQ | 5.33 (0.1491) | 83.80 (0.0000) |
IBM | 4.25 (0.2357) | 157.06 (0.0000) |
JPM | 3.26 (0.3532) | 124.01 (0.0000) |
MDZ | 5.49 (0.1392) | 159.86 (0.0000) |
PEP | 9.97 (0.0188) | 164.45 (0.0000) |
PRG | 2.25 (0.5222) | 130.88 (0.0000) |
TWX | 11.09 (0.0112) | 99.10 (0.0000) |
TXN | 1.90 (0.5934) | 79.09 (0.0000) |
WFC | 7.04 (0.0706) | 143.04 (0.0000) |
Asset | ||||
---|---|---|---|---|
ATT | 3.8957 (0.0001) | 4.3336 (0.0000) | 2.8878 (0.0039) | 4.6406 (0.0000) |
BAC | 4.0325 (0.0001) | 4.3822 (0.0000) | 3.0110 (0.0026) | 5.4706 (0.0000) |
BOI | 13.9648 (0.0000) | 9.3975 (0.0000) | 18.9700 (0.0000) | 9.4658 (0.0000) |
CAT | 4.3298 (0.0000) | 4.5230 (0.0000) | 2.9384 (0.0033) | 5.1361 (0.0000) |
CTG | 3.6318 (0.0003) | 3.7586 (0.0002) | 2.8238 (0.0047) | 4.1108 (0.0000) |
FDX | 3.0102 (0.0026) | 2.9183 (0.0035) | 3.9842 (0.0001) | 2.0103 (0.0444) |
HON | 2.9055 (0.0037) | 3.0381 (0.0024) | 2.4728 (0.0134) | 2.8784 (0.0040) |
HPQ | 16.6222 (0.0000) | 7.4219 (0.0000) | 2.7958 (0.0052) | 5.3210 (0.0000) |
IBM | (0.8251) | 0.3105 (0.7562) | (0.5461) | 0.5044 (0.6140) |
JPM | 0.7630 (0.4455) | 0.6326 (0.5270) | 1.0247 (0.3055) | 0.4642 (0.6425) |
MDZ | (0.6954) | (0.7004) | (0.7230) | (0.6759) |
PEP | 1.0614 (0.2885) | 2.1311 (0.0331) | 0.0232 (0.9815) | 2.8849 (0.0039) |
PRG | 3.2625 (0.0011) | 3.2615 (0.0011) | 3.3250 (0.0009) | 3.2064 (0.0013) |
TWX | 0.4999 (0.6171) | 0.0756 (0.9397) | 1.7995 (0.0719) | 0.1434 (0.8860) |
TXN | 3.1661 (0.0015) | 3.1672 (0.0015) | 2.4961 (0.0126) | 3.0988 (0.0019) |
WFC | 3.0723 (0.0021) | 3.1620 (0.0016) | 2.4755 (0.0133) | 3.2976 (0.0010) |
Asset | |||
---|---|---|---|
ATT | (0.0545) | (0.0029) | (0.0022) |
BAC | (0.1016) | (0.0530) | (0.0664) |
BOI | (0.0662) | (0.0011) | (0.0007) |
CAT | (0.0238) | (0.0012) | (0.0041) |
CTG | (0.0623) | (0.0469) | (0.0826) |
FDX | (0.0442) | (0.0073) | (0.0018) |
HON | (0.0587) | (0.0208) | (0.0011) |
HPQ | (0.1548) | (0.0004) | (0.0094) |
IBM | (0.0085) | (0.0000) | (0.0000) |
JPM | (0.0456) | (0.0427) | (0.0172) |
MDZ | (0.0046) | (0.0000) | (0.0000) |
PEP | (0.0131) | (0.0000) | (0.0000) |
PRG | (0.0009) | (0.0000) | (0.0000) |
TWX | (0.1010) | (0.0055) | (0.0359) |
TXN | (0.1518) | (0.0020) | (0.0417) |
WFC | (0.0919) | (0.0828) | (0.0196) |
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Bonaccolto, G.; Caporin, M. The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective. J. Risk Financial Manag. 2016, 9, 8. https://doi.org/10.3390/jrfm9030008
Bonaccolto G, Caporin M. The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective. Journal of Risk and Financial Management. 2016; 9(3):8. https://doi.org/10.3390/jrfm9030008
Chicago/Turabian StyleBonaccolto, Giovanni, and Massimiliano Caporin. 2016. "The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective" Journal of Risk and Financial Management 9, no. 3: 8. https://doi.org/10.3390/jrfm9030008
APA StyleBonaccolto, G., & Caporin, M. (2016). The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective. Journal of Risk and Financial Management, 9(3), 8. https://doi.org/10.3390/jrfm9030008