Next Article in Journal
The Nexus between Social Capital and Bank Risk Taking
Previous Article in Journal
Probability of Default and Default Correlations
Open AccessArticle

The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective

1
Department of Economics and Management “Marco Fanno”, University of Padova, Via del Santo 22, 35123 Padova, Italy
2
Department of Statistical Sciences, University of Padova, Via Cesare Battisti 241, 35121 Padova, Italy
*
Author to whom correspondence should be addressed.
These authors contributed equally to this work.
Academic Editor: Michael McAleer
J. Risk Financial Manag. 2016, 9(3), 8; https://doi.org/10.3390/jrfm9030008
Received: 21 May 2016 / Revised: 22 June 2016 / Accepted: 29 June 2016 / Published: 7 July 2016
Several market and macro-level variables influence the evolution of equity risk in addition to the well-known volatility persistence. However, the impact of those covariates might change depending on the risk level, being different between low and high volatility states. By combining equity risk estimates, obtained from the Realized Range Volatility, corrected for microstructure noise and jumps, and quantile regression methods, we evaluate the forecasting implications of the equity risk determinants in different volatility states and, without distributional assumptions on the realized range innovations, we recover both the points and the conditional distribution forecasts. In addition, we analyse how the the relationships among the involved variables evolve over time, through a rolling window procedure. The results show evidence of the selected variables’ relevant impacts and, particularly during periods of market stress, highlight heterogeneous effects across quantiles. View Full-Text
Keywords: realized range volatility; quantile regression; volatility quantiles and density forecasting; forecast assessment realized range volatility; quantile regression; volatility quantiles and density forecasting; forecast assessment
Show Figures

Figure 1

MDPI and ACS Style

Bonaccolto, G.; Caporin, M. The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective. J. Risk Financial Manag. 2016, 9, 8.

Show more citation formats Show less citations formats
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Article Access Map by Country/Region

1
Back to TopTop