Figures 2 to 4 plot the three ponents, estimated monthly,Рusing daily data over the period from 1962 to 1997: market volatility MKT,Рindustry-level volatility IND, and firm-level volatility FIRM. All three seriesРare annualized ~multiplied by 12!. The top panels show the raw monthly timeРseries and the bottom panels plot a lagged moving average of order 12. NoteРthat the vertical scales differ in each figure and cannot pared with Fig-Рure 1 ~because we are now plotting variances rather than a standard deviation!.Р Market volatility shows the well-known patterns that have been studiedРin countless papers on the time variation of index return variances. Com-Рparing the monthly series with the smoothed version in the bottom panelРsuggests that market volatility has a slow-ponent along with a
全文预览
