Stock Market Volatility and Macroeconomic Fundamentals
使用区分短期和长期波动的新模型，发现将通胀和工业增长等宏观经济基本面纳入波动模型能提升长期预测能力，且短期也有显著作用。
We revisit the relation between stock market volatility and macroeconomic activity using a new class of component models that distinguish short-run from long-run movements. We formulate models with the long-term component driven by inflation and industrial production growth that are in terms of pseudo out-of-sample prediction for horizons of one quarter at par or outperform more traditional time series volatility models at longer horizons. Hence, imputing economic fundamentals into volatility models pays off in terms of long-horizon forecasting. We also find that macroeconomic fundamentals play a significant role even at short horizons. © 2013 The President and Fellows of Harvard College and the Massachusetts Institute of Technology.