2013/08/20 by Filip Žikeš, Zikes, Filip, Jozef Baruník +1
Economics, Econometrics and Finance · #FOS: Economics and business #Market Dynamics and Volatility #Portfolio Management (q-fin.PM) #Statistical Finance (q-fin.ST)
paper · pdf · doi:10.48550/arxiv.1308.4276
openalex publication_date 2013/08/20 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
This paper investigates how the conditional quantiles of future returns and\nvolatility of financial assets vary with various measures of ex-post variation\nin asset prices as well as option-implied volatility. We work in the flexible\nquantile regression framework and rely on recently developed model-free\nmeasures of integrated variance, upside and downside semivariance, and jump\nvariation. Our results for the S&P 500 and WTI Crude Oil futures contracts show\nthat simple linear quantile regressions for returns and heterogenous quantile\nautoregressions for realized volatility perform very well in capturing the\ndynamics of the respective conditional distributions, both in absolute terms as\nwell as relative to a couple of well-established benchmark models. The models\ncan therefore serve as useful risk management tools for investors trading the\nfutures contracts themselves or various derivative contracts written on\nrealized volatility.\n