The role of US implied volatility index in forecasting Chinese stock market volatility: Evidence from HAR models

Xiao Jihong; Wen Fenghua; Zhao Yupei; Wang Xiong

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The role of US implied volatility index in forecasting Chinese stock market volatility: Evidence from HAR models

机译：美国暗示波动指数在中国股市波动预测中的作用：来自Har模型的证据

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摘要

The US implied volatility index (VIX) is a popular proxy for global financial market uncertainty. This paper aims to assess the role of this proxy in forecasting the Chinese stock market volatility, as China's globalization trend is strengthening. For this purpose, we develop six heterogeneous autoregressive (HAR) models allowing for VIX changes to forecast the Chinese stock market volatility. The in-sample and out-of-sample results show the VIX changes can improve the volatility forecasting in the Chinese stock market but mainly show improvement for the bad volatility forecasting rather than for good volatility forecasting. Additionally, such forecasting improvement is sizable at the short-run prediction horizon but weakens as the prediction horizon increases. Our results also remain robust by using alternative evaluation methods and alternative HAR models.

机译：美国隐含波动率指数（VIX）是全球金融市场不确定性的流行代理。本文旨在评估该代理在预测中国股市波动中的作用，因为中国的全球化趋势加强。为此目的，我们开发六种异构自我回归（HAR）模型，允许VIX改变以预测中国股市波动。样品中和样品外的结果表明，VIX变化可以改善中国股票市场的波动性预测，而且主要表现出不良波动性预测而不是良好波动预测的改善。另外，在短期预测地平线上可以达到这种预测改善，但随着预测地平线的增加而削弱。我们的结果还通过使用替代评估方法和替代的HAR模型来稳健。

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来源
《International review of economics & finance》 |2021年第7期|311-333|共23页
作者
Xiao Jihong; Wen Fenghua; Zhao Yupei; Wang Xiong;
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作者单位

Nanjing Univ Sci & Technol Sch Econ & Management Nanjing 210094 Peoples R China;

Cent South Univ Sch Business Changsha 410083 Peoples R China|Univ Windsor Fac Engn Supply Chain & Logist Optimizat Res Ctr Windsor ON Canada|Univ Essex Ctr Computat Finance & Econ Agents Colchester CO4 3SQ Essex England;

Cent South Univ Sch Business Changsha 410083 Peoples R China;

Cent South Univ Sch Business Changsha 410083 Peoples R China;

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原文格式 PDF
正文语种 eng
中图分类
关键词
Volatility forecasting; Chinese stock market; VIX; Good and bad volatilities; HAR models;

机译：波动率预测;中国股市;vix;良好和不良的波动效果;哈尔模型;

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1. Forecasting stock market volatility using implied volatility: evidence from extended realized EGARCH-MIDAS model [J] . Wu Xinyu, Wang Xiaona, Wang Haiyun Applied economics letters . 2021,第10a12期

机译：使用隐含的波动性预测股市波动：来自延伸的eGARCH-MIDAS模型的证据
2. Forecasting volatility of the Chinese stock markets using TVP HAR-type models [J] . Physica, A. Statistical mechanics and its applications . 2020,第期

机译：使用TVP Har型模型预测中国股市的波动性
3. Measuring and Forecasting Volatility in Chinese Stock Market Using HAR-CJ-M Model [J] . ChuangxiaHuang, XuGong, XiaohongChen, Abstract and applied analysis . 2013,第16期

机译：利用HAR-CJ-M模型测量和预测中国股市波动性
4. Realized volatility characteristics, estimate and forecast in China's stock market: Based on L-HAR-CJ model [C] . Susheng Wang, Jing Xu International Conference of Information Science and Management Engineering . 2015

机译：基于L-HAR-CJ模型的中国股市实现波动特征，估计和预测
5. Prédiction de la volatilité future dans le marché des devises à l’aide de la volatilité implicite =Using Implied Volatility to Forecast Future Volatility in the Foreign Exchange Market [D] . Denault Beauchamp, William . 2019

机译：利用隐含波动=在外汇市场中使用隐含的波动性对外国未来波动性的隐含波动预测对未来波动性的预测
6. A dynamic analysis of the relationship between investor sentiment and stock market realized volatility: Evidence from China [O] . Yanhui Chen, Hanhui Zhao, Ziyu Li, 2020

机译：投资者情绪与股票市场关系的动态分析实现波动性：来自中国的证据
7. Do Stock Markets Catch the Flu? We examine the impact of influenza on the U.S. stock market. A higher incidence of flu is associated with decreased trading, decreased volatility, and higher bid-ask spreads. We also find some evidence that more flu implies lower stock returns. Consistent with the flu affecting institutional investors and market-makers, the decrease in trading activity and volatility is primarily driven by the incidence of influenza in the greater New York City area. However, the effect of the flu on bid-ask spreads and returns is driven by the incidence of flu nationally. We provide estimates of the potential impacts of a pandemic on equity returns. [O] . Yiuman Tse, Brian C. McTier, John K. Wald 100

机译：股市是否会引发流感？我们研究了流感对美国股市的影响。流感发病率较高与交易减少，波动性降低和买卖差价较高有关。我们还发现一些证据表明，更多流感意味着股票收益率下降与影响机构投资者和做市商的流感一致，交易活动和波动性的下降主要是由于纽约市大区的流感发病率所致。然而，流感对买卖差价和回报的影响是由全国流感的发生率所驱动的。我们提供了大流行对股权回报的潜在影响的估计。

The role of US implied volatility index in forecasting Chinese stock market volatility: Evidence from HAR models

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