Forecasting equity index volatility by measuring the linkage among component stocks

Forecasting equity index volatility by measuring the linkage among component stocks

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

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Bibliographic Details
Main Authors: QIU, Yue, XIE, Tian, Jun YU, ZHOU, Qiankun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2022
Subjects:
volatility forecasting
heterogeneous autoregression
common correlated effect
factor analysis
random forest
Econometrics
Portfolio and Security Analysis
Online Access:https://ink.library.smu.edu.sg/soe_research/2611
https://ink.library.smu.edu.sg/context/soe_research/article/3610/viewcontent/Forecasting_Equity_Index_sv.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2611
https://ink.library.smu.edu.sg/context/soe_research/article/3610/viewcontent/Forecasting_Equity_Index_sv.pdf

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