This study examines whether incorporating volatility improves the forecast of directional changes in the returns of Australia’s banking, industrial and resource sectors. This study first estimates a benchmark non-volatility logit regression model and assesses it against four estimated volatility logit models measured by mean absolute deviation, standard deviation, return squared (U2) and range. An out-of-sample prediction performance, assessed by Brier’s QPS statistic and hit ratio, confirms that volatility improves the prediction of directional changes of returns. A simple trading strategy is utilized to provide practical improvement in investors’ market timing decisions.

中文翻译：

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结合金融市场波动来改善对澳大利亚股市回报方向变化的预测

本研究考察了纳入波动率是否能改善对澳大利亚银行、工业和资源部门回报方向变化的预测。本研究首先估计了一个基准非波动率 logit 回归模型，并根据四个估计的波动率 logit 模型对其进行评估，这些模型通过平均绝对偏差、标准偏差、收益平方 (U2) 和范围来衡量。由 Brier 的 QPS 统计数据和命中率评估的样本外预测性能证实了波动性改善了对回报方向变化的预测。一个简单的交易策略被用来为投资者的市场时机决策提供实际改进。