Macroeconomic Factors and the Asymmetric Predictability of Conditional Variances
使用AR-GARCH模型研究大公司与小公司波动率的可预测性，发现两者之间存在对称预测关系，且这种关系在加入违约溢价、股息收益率等宏观经济变量后依然成立。
This paper investigates the predictability of the volatilities of large versus small firms. Using AR‐GARCH models we show that there is symmetry in the ability of firms of different market values to predict conditional variances. Specifically, we show that volatility surprises of small (large) firms are important in predicting the conditional variance of large (small) firms. These results are different than those previously reported which indicate that there is an asymmetry in the predictability of the volatilities of large versus small firms. This predictive ability is still present when the equation of conditional variance includes state variables such as the default premium, dividend yield and the term premium. Finally, our results indicate that the pattern of symmetric predictability is present in both pre‐ and post‐war sample periods.