The information content of Chinese volatility index for volatility forecasting
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 365-372 |
| Journal / Publication | Applied Economics Letters |
| Volume | 28 |
| Issue number | 5 |
| Online published | 20 Apr 2020 |
| Publication status | Published - Mar 2021 |
Link(s)
Abstract
In this paper, we investigate whether the model-free implied volatility index iVX officially launched by the Shanghai Stock Exchange has incremental explanatory power for future volatility in the SSE 50 ETF. In particular, we concentrate on Heterogeneous Autoregressive model of realized volatility and iVX (HAR-RV-iVX). We use both in-sample and out-of-sample predictive regressions to empirically indicate that the iVX significantly improves the forecasting performance of the realized volatility of SSE 50 ETF.
Research Area(s)
- Chinese volatility index, realized volatility, SSE 50 ETF, Volatility forecasting
Citation Format(s)
The information content of Chinese volatility index for volatility forecasting. / Li, Zhe; Zhang, Wei-Guo; Zhang, Yue.
In: Applied Economics Letters, Vol. 28, No. 5, 03.2021, p. 365-372.
In: Applied Economics Letters, Vol. 28, No. 5, 03.2021, p. 365-372.
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
