Forecasting stock market volatility using implied volatility : evidence from extended realized EGARCH-MIDAS model
Xinyu Wu, Xiaona Wang and Haiyun Wang
| Year of publication: |
2021
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| Authors: | Wu, Xinyu ; Wang, Xiaona ; Wang, Haiyun |
| Published in: |
Applied economics letters. - New York, NY : Routledge, ISSN 1466-4291, ZDB-ID 1484783-8. - Vol. 28.2021, 11, p. 915-920
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| Subject: | Realized EGARCH-MIDAS | Realized kernel | Implied volatility | Forward-looking information | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/13504851.2020.1785617 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012589699