Modeling the Dependence of Conditional Correlations on Market Volatility
扩展了多个模型，将条件相关性对市场波动率的依赖显式纳入，并基于两组数据检验了波动率效应的统计与经济显著性，但发现该效应并未提升模型的预测表现。
Several models have been developed to capture the dynamics of the conditional correlations between time series of financial returns and several studies have shown that the market volatility is a major determinant of the correlations. We extend some models to include explicitly the dependence of the correlations on the market volatility. The models differ by the way — linear or nonlinear, direct or indirect — in which the volatility influences the correlations. Using a wide set of models with two measures of market volatility on two datasets, we find that for some models, the empirical results support to some extent the statistical significance and the economic significance of the volatility effect on the correlations, but the presence of the volatility effect does not improve the forecasting performance of the extended models. Supplementary materials for this article are available online.