Forecasting Chinese stock market volatility with option-implied risk aversion : evidence from extended realized EGARCH-MIDAS approach
Xinyu Wu, Jia Qian, Xiaohan Zhao
| Year of publication: |
2024
|
|---|---|
| Authors: | Wu, Xinyu ; Qian, Jia ; Zhao, Xiaohan |
| Subject: | Extreme shocks | Option-implied risk aversion | Realized EGARCH-MIDAS model | Volatility forecasting | Volatility timing | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Risikoaversion | Risk aversion | Schätzung | Estimation | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | China | Schock | Shock | Börsenkurs | Share price | Optionspreistheorie | Option pricing theory |
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