 Using implied volatility jumps for realized volatility forecasting: Evidence from the Chinese marketWuyi Ye, Wenjing Xia, Bin Wu and Pengzhan Chen International Review of Financial Analysis, 2022, vol. 83, issue C Abstract: This study examines the Chinese implied volatility index (iVIX) to determine whether jump information from the index is useful for volatility forecasting of the Shanghai Stock Exchange 50ETF. Specifically, we consider the jump sizes and intensities of the 50ETF and iVIX as well as cojumps. The findings show that both the jump size and intensity of the 50ETF can improve the forecasting accuracy of the 50ETF volatility. Moreover, we find that the jump size and intensity of the iVIX provide no significant predictive ability in any forecasting horizon. The cojump intensity of the 50ETF and iVIX is a powerful predictor for volatility forecasting of the 50ETF in all forecasting horizons, and the cojump size is helpful for forecasting in short forecasting horizon. In addition, for a one-day forecasting horizon, the iVIX jump size in the cojump is more predictive of future volatility than that of the 50ETF when simultaneous jumps occur. Our empirical results are robust and consistent. This work provides new insights into predicting asset volatility with greater accuracy. Keywords: 50ETF; Implied volatility; Jumps; Cojumps; Volatility forecasting (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002320 DOI: 10.1016/j.irfa.2022.102277 Access Statistics for this article International Review of Financial Analysis is currently edited by B.M. Lucey More articles in International Review of Financial Analysis from Elsevier |
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