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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/154658

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/154658

Title:	Conditional volatility targeting strategy considering jump effects: Evidence from sustainable ESG equity index
Authors:	楊曉文 Yang, Sharon S.;Huang, Jr-Wei;Cheng, Hung-Wen
Contributors:	金融系
Keywords:	Conditional volatility targeting strategy;Sustainable ESG equity index;Jump risk;ARMA-GARCH jump model
Date:	2024-12
Issue Date:	2024-12-12
Abstract:	This paper considers the sustainable ESG equity index in the proposed conditional volatility targeting strategy. The research first detects jump risk using a jump test and then extends Bongaerts et al. (2020) by addressing jump risk and employing different volatility models to project volatilities under the conditional volatility targeting strategy. To capture consideration of the fact that index return dynamics, we propose an ARMA-GARCH jump model that can capture the characteristics of jump persistence, autocorrelation, and volatility clustering according to the return of the sustainable equity index. Our numerical analyses reveal that the portfolio allocation using a sustainable equity index to predict volatility, combined with a conditional volatility target strategy, can achieve higher performance. Furthermore, the proposed ARMA-GARCH jump model can enhance the performance with conditional volatility targeting strategy.
Relation:	Pacific-Basin Finance Journal, Vol.88, 102525
Data Type:	article
DOI 連結:	https://doi.org/10.1016/j.pacfin.2024.102525
DOI:	10.1016/j.pacfin.2024.102525
Appears in Collections:	[金融學系] 期刊論文

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