Stock market volatility: Identifying major drivers and the nature of their impact

Stefan Mittnik, Nikolay Robinzonov and Martin Spindler

Journal of Banking & Finance, 2015, vol. 58, issue C, 1-14

Abstract: Financial-market risk, commonly measured in terms of asset-return volatility, plays a fundamental role in investment decisions, risk management and regulation. In this paper, we investigate a new modeling strategy that helps to better understand the forces that drive market risk. We use componentwise gradient boosting techniques to identify financial and macroeconomic factors influencing volatility and to assess the specific nature of their influence. Componentwise boosting is capable of producing parsimonious models from a, possibly, large number of predictors and—in contrast to other related techniques—allows a straightforward interpretation of the parameter estimates.

Keywords: Componentwise boosting; Financial market risk; Forecasting; GARCH; Exponential GARCH; Variable selection (search for similar items in EconPapers)
JEL-codes: C55 C58 E00 G17 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (49)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:58:y:2015:i:c:p:1-14

DOI: 10.1016/j.jbankfin.2015.04.003

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