The role of US implied volatility index in forecasting Chinese stock market volatility : evidence from HAR models
Jihong Xiao, Fenghua Wen, Yupei Zhao, Xiong Wang
| Year of publication: |
2021
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|---|---|
| Authors: | Xiao, Jihong ; Wen, Fenghua ; Zhao, Yupei ; Wang, Xiong |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 74.2021, p. 311-333
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| Subject: | Chinese stock market | Good and bad volatilities | HAR models | VIX | Volatility forecasting | Volatilität | Volatility | China | Aktienmarkt | Stock market | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Schätzung | Estimation |