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【讲座通知】第7期“计量、金融和大数据分析专题研讨会”

2019-11-13  

  【题目】: The Weekly Rhythm of Volatility

  【主讲人】:梁方 北京大学国家发展研究院 博士研究生

  【时间】:2019年11月15日(周五)10:00-11:30

  【地点】:北大经济学院107室

  【摘要】:We study weekly patterns in S&P 500 volatility over 21.5 years, from early 1996 to mid 2017, using high-frequency data. About 29.4% of daily variance occurs during the hours the market is closed, but this percentage is time-varying, gradually increasing from about 21% to nearly 40%. Across weekdays, there is substantial variation in overnight variance. The variance of “overnight” returns from Friday to Monday, Thursday to Friday, is nearly 50% higher than other weekdays. We find large and significant announcement effect of the employment data on overnight variances. The close-to-open variances before the announcement days are systematically higher than other days. For open-to-close volatility, the patterns are different. The variances of open-to-close returns in the middle of the week are significantly higher. We propose a bisected realized GARCH model and include categorical variables to study the weekly rhythm of volatility. Our out-of-sample results show that there are substantial gains from modeling overnight returns and open-to-close returns as a bivariate process, rather than simply modeling daily returns.

  【主讲人简介】:

  梁方,北京大学国家发展研究院金融学博士生

  2018至2019年访问美国北卡罗来纳大学教堂山分校经济系

  研究领域包括金融计量、实证金融、经济预测等


  • 北京大学经济学院

  • 北大经院人

  • 经院校友办