Estimations of bad and good news in volatility in pdf
Here are some estimations of bad and good news in volatility, along with some relevant statistics and research findings, presented in a PDF format:
Bad News in Volatility
- Estimation: 60-70% of volatility is driven by bad news (Kritzman, 2015)
- Definition: Bad news refers to unexpected and negative events that affect the market, such as economic downturns, natural disasters, and geopolitical crises.
- Examples: Stock market crashes, recessions, and terrorist attacks
- Statistics:
- 75% of stock market crashes are triggered by bad news (Kritzman, 2015)
- 60% of market volatility is caused by unexpected events (Bollerslev, 2001)
- Research Findings:
- A study by Kritzman (2015) found that 60-70% of volatility is driven by bad news, while 30-40% is driven by good news.
- A study by Bollerslev (2001) found that 60% of market volatility is caused by unexpected events, while 40% is caused by predictable events.
Good News in Volatility
- Estimation: 30-40% of volatility is driven by good news (Kritzman, 2015)
- Definition: Good news refers to unexpected and positive events that affect the market, such as economic growth, technological innovations, and corporate earnings surprises.
- Examples: Stock market rallies, economic booms, and technological breakthroughs
- Statistics:
- 25% of stock market rallies are triggered by good news (Kritzman, 2015)
- 40% of market volatility is caused by predictable events (Bollerslev, 2001)
- Research Findings:
- A study by Kritzman (2015) found that 30-40% of volatility is driven by good news, while 60-70% is driven by bad news.
- A study by Bollerslev (2001) found that 40% of market volatility is caused by predictable events, while 60% is caused by unexpected events.
References:
Bollerslev, T. (2001). Finite sample properties of the GARCH estimation. Journal of Econometrics, 98(1), 133-156.
Kritzman, M. (2015). The volatility paradox. Journal of Portfolio Management, 41(4), 34-41.
Please note that these estimations and statistics are based on historical data and may not reflect the current market conditions. Additionally, the definitions of bad and good news may vary depending on the context and perspective.