非对称波动之谜的解开：波动的新解释
Unravelling the Asymmetric Volatility Puzzle: A Novel Explanation of Volatility Through Anchoring
摘要：
本文基于锚定行为模式对波动非对称性进行了新的解释。作为一种启发式偏差，投资者关注最近的价格变化和价格水平，这两个因素分别导致了对持续趋势和均值回归的信念。实证结果通过分析标准普尔500指数的大幅波动及其对隐含波动率和已实现波动率的影响支持了我们的理论解释。这些结果表明，冲击和波动之间的不对称性（负相关）在随后的时期确实存在。此外，与以往的研究相反，我们的实证检验还表明，隐含波动率不是简单的向上偏置预测未来偏差补偿波动率的方差，而是由于投资者系统锚定的损失和收益，在他们的波动率预测，这是一个共整合但不对称的高估/低估的金融工具。我们还提供的结果表明，中期隐含波动率（VIX指数衡量）是一个无偏的，但效率低下的估计已实现波动率，而相反，短期波动率（最近推出的VXST指数代表9天隐含波动率衡量）也是无偏的，但有效的。
英文摘要：
This paper discusses a novel explanation for asymmetric volatility based on the anchoring behavioral pattern. Anchoring as a heuristic bias causes investors focusing on recent price changes and price levels, which two lead to a belief in continuing trend and mean-reversion respectively. The empirical results support our theoretical explanation through an analysis of large price fluctuations in the S&P 500 and the resulting effects on implied and realized volatility. These results indicate that asymmetry (a negative relationship) between shocks and volatility in the subsequent period indeed exists. Moreover, contrary to previous research, our empirical tests also suggest that implied volatility is not simply an upward biased predictor of future deviation compensating for the variance of the volatility but rather, due to investors systematic anchoring to losses and gains in their volatility forecasts, it is a co-integrated yet asymmetric over/under estimated financial instrument. We also provide results indicating that the medium-term implied volatility (measured by the VIX Index) is an unbiased though inefficient estimation of realized volatility, while in contrast, the short-term volatility (measured by the recently introduced VXST Index representing the 9-day implied volatility) is also unbiased and yet efficient.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
