Which popular predictor is more useful to forecast international stock markets during the coronavirus pandemic: VIX vs EPU?

This study mainly investigates which predictors (VIX or EPU index) are useful to forecast future volatility for 19 equity indices based on HAR framework during coronavirus pandemic. Out-of-sample analysis shows that the HAR-RV-VIX model exhibits superior forecasting performance for 12 stock markets,...

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Detalles Bibliográficos
Autores principales: Wang, Jiqian, Lu, Xinjie, He, Feng, Ma, Feng
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7521353/
http://dx.doi.org/10.1016/j.irfa.2020.101596

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7521353/
http://dx.doi.org/10.1016/j.irfa.2020.101596

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