考虑跳跃效应的条件波动率目标策略:可持续 ESG 股票指数的证据

IF 4.8 2区 经济学 Q1 BUSINESS, FINANCE Pacific-Basin Finance Journal Pub Date : 2024-09-10 DOI:10.1016/j.pacfin.2024.102525
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引用次数: 0

摘要

本文在拟议的条件波动率目标策略中考虑了可持续的环境、社会和公司治理股票指数。研究首先使用跳跃测试检测跳跃风险,然后扩展 Bongaerts 等人(2020 年)的研究,解决跳跃风险问题,并采用不同的波动率模型预测条件波动率目标策略下的波动率。为了考虑指数收益动态这一事实,我们提出了一个 ARMA-GARCH 跳跃模型,该模型可以根据可持续股票指数的收益来捕捉跳跃持续性、自相关性和波动性聚类的特征。我们的数值分析表明,使用可持续股票指数预测波动率的投资组合配置与条件波动率目标策略相结合,可以获得更高的绩效。此外,所提出的 ARMA-GARCH 跳跃模型可以提高条件波动率目标策略的性能。
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Conditional volatility targeting strategy considering jump effects: Evidence from sustainable ESG equity index

This paper considers the sustainable ESG equity index in the proposed conditional volatility targeting strategy. The research first detects jump risk using a jump test and then extends Bongaerts et al. (2020) by addressing jump risk and employing different volatility models to project volatilities under the conditional volatility targeting strategy. To capture consideration of the fact that index return dynamics, we propose an ARMA-GARCH jump model that can capture the characteristics of jump persistence, autocorrelation, and volatility clustering according to the return of the sustainable equity index. Our numerical analyses reveal that the portfolio allocation using a sustainable equity index to predict volatility, combined with a conditional volatility target strategy, can achieve higher performance. Furthermore, the proposed ARMA-GARCH jump model can enhance the performance with conditional volatility targeting strategy.

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来源期刊
Pacific-Basin Finance Journal
Pacific-Basin Finance Journal BUSINESS, FINANCE-
CiteScore
6.80
自引率
6.50%
发文量
157
期刊介绍: The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.
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