Forecasting equity index volatility by measuring the linkage among component stocks

• Main Authors: QIU, Yue, XIE, Tian, YU, Jun, ZHOU, Qiankun
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2019
• Subjects: Volatility Forecasting; Heterogeneous autoregression; Common correlated effect; Factor analysis; Random forest; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2247; https://ink.library.smu.edu.sg/context/soe_research/article/3246/viewcontent/harp_manu_.pdf
• Institution: Singapore Management University

The linkage among the realized volatilities across component stocks are important when modeling and forecasting the relevant index volatility. In this paper, the linkage is measured via an extended Common Correlated Effects (CCE) approach under a panel heterogeneous autoregression model where unobse...