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首页> 外文期刊>International Review of Financial Analysis >Which popular predictor is more useful to forecast international stock markets during the coronavirus pandemic: VIX vs EPU?
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Which popular predictor is more useful to forecast international stock markets during the coronavirus pandemic: VIX vs EPU?

机译：哪些流行的预测因素在冠状病毒大流行期间预测国际股票市场更有用：vix与epu？

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摘要

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, while EPU index just can improve forecast accuracy for 5 equity indices, implying that VIX index is more useful for most stock markets' future volatility during coronavirus crisis. The results are robust in recursive window method, alternative realized measures and sub-sample analysis; moreover, VIX index still contains the strongest predictive ability by considering kitchen sink model and mean combination forecast. Furthermore, we further discuss the predictive effect of VIX and EPU index before the coronavirus crisis. Our article provides policy makers, researchers and investors with new insights into exploiting the predictive ability of VIX and EPU index for international stock markets during coronavirus pandemic.
机译：本研究主要调查哪些预测因素（VIX或EPU指数）可用于预测基于Coronavirus大流行期间的199个股权指数的未来波动性。除样本分析表明，HAR-RV-VIX模型对12个股票市场的预测性能呈现出卓越的预测性能，而EPU指数只能提高5个股票指数的预测准确性，这意味着VIX指数对大多数股票市场的未来更有用冠状病毒危机期间的波动性。结果在递归窗口方法中具有稳健，替代的实现措施和子样本分析;此外，VIX指数仍然认为通过考虑厨房水槽模型和平均组合预测，仍包含最强的预测能力。此外，我们进一步讨论了冠状病毒危机前VIX和EPU指数的预测效果。我们的文章为政策制定者，研究人员和投资者提供了新的见解，以利用在冠状病毒大流行期间利用国际股票市场的VIX和EPU指数的预测能力。

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