Leverage effect, economic policy uncertainty and realized volatility with regime switching

被引：29

作者：

Duan, Yinying ^{[1
]}

Chen, Wang ^{[2
]}

Zeng, Qing ^{[1
]}

Liu, Zhicao ^{[3
]}

机构：

[1] Sichuan Agr Univ, Sch Business, Chengdu, Sichuan, Peoples R China

[2] Yangtze Normal Univ, Coll Finance & Econ, Chongqing, Peoples R China

[3] Southwest Jiaotong Univ, Sch Econ & Management, Chengdu, Sichuan, Peoples R China

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2018年 / 493卷

关键词：

Volatility forecasting; Realized volatility; Leverage effect; Economic policy uncertainty; Regime switching; OIL FUTURES; IMPLIED VOLATILITY; MODELS; FORECASTS; ACCURACY; MARKET; STOCK; HELP;

D O I：

10.1016/j.physa.2017.10.040

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

In this study, we first investigate the impacts of leverage effect and economic policy uncertainty (EPU) on future volatility in the framework of regime switching. Out-of sample results show that the HAR-RV including the leverage effect and economic policy uncertainty with regimes can achieve higher forecast accuracy than RV-type and GARCH-class models. Our robustness results further imply that these factors in the framework of regime switching can substantially improve the HAR-RV's forecast performance. (C) 2017 Elsevier B.V. All rights reserved.

引用

页码：148 / 154

页数：7

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