VWAVVegan With A Vengeance (cookbook)
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References in periodicals archive ?
In Panel B, we observe that the average stock variance (e.g., EWAV, VWAV) is more persistent than market variance (e.g., EWMV, VWMV).
We find that the set of lagged innovations in average stock volatility gives more accurate forecasts of the one-month-ahead conditional variance of excess market returns (e.g., the adjusted [R.sub.2] of 0.3341 for innovations in EWAV, and that of 0.4189 for innovations in VWAV) than does the value- or equal-weighted average idiosyncratic volatility (e.g., adjusted [R.sub.2] of 0.2684 lbr EWAIV, and that of 0.1559 for VWAIV).
EWMV, VWMV, EWAV, VWAV, EWIV, and VWIV denote monthly CRSP index equal- and value-weighted average market volatility, average stock volatility and idiosyncratic volatility, respectively, which we calculate using daily data.