國立臺北大學統計學系

專題演講

 

講題：Volatility-of-Volatility Aligned Uncertainty and Return Predictability 

主講人：陳德峰 副教授(香港理工大學會計及金融學院) 

時間：115年03月04日 (星期三，13：10~15：00) 

地點：三峽校區商學院1F01教室 

Abstract

We propose a novel approach to forecasting market returns by constructing economic uncertainty indices aligned with future volatility-of-volatility (VOV). We employ the partial least squares (PLS) method to synthesize information from economic policy uncertainty (EPU) indices and macro-financial uncertainty measures into indices that best predict future VOV. This VOV alignment significantly enhances return predictability, delivering out-of-sample R² up to 13% for U.S. equities and generating substantial economic gains for mean-variance investors. Predictability extends beyond equities to hedge fund returns ( R² up to 18.3%) and global markets ( R² up to 18.7%). Our results clarify which uncertainty components—such as financial uncertainty, sovereign debt crises, and regulatory risk—drive predictive power, offering an interpretable and theoretically grounded tool for improving asset allocation across diverse asset classes and geographies. 

 

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國立臺北大學統計學系  敬邀

115.03.02

附件：演講摘要