Forecasting stock market volatility with a large number of predictors: New evidence from the MS-MIDAS-LASSO model

This paper explores the effectiveness of predictors, including nine economic policy uncertainty indicators, four market sentiment indicators and two financial stress indices, in predicting the realized volatility of the S&P 500 index. We employ the MIDAS-RV framework and construct the MIDAS-LASS...

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Detalles Bibliográficos
Autores principales: Li, Xiafei, Liang, Chao, Ma, Feng
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2022
Materias:
Original Research
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9039984/
https://www.ncbi.nlm.nih.gov/pubmed/35493692
http://dx.doi.org/10.1007/s10479-022-04716-1

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9039984/
https://www.ncbi.nlm.nih.gov/pubmed/35493692
http://dx.doi.org/10.1007/s10479-022-04716-1

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