Synthesized jumps and VIX forecasting: Spillover effects from Chinese stock market
Gaoxiu Qiao,
Xuekun Ma,
Gongyue Jiang and
Yijun Pan
Applied Economics Letters, 2024, vol. 31, issue 17, 1645-1650
Abstract:
This study examines the spillover effects of jumps and synthesized jumps from Chinese stock market for VIX forecasting. We adopt principal component analysis (PCA) and momentum of predictability (MoP) strategy to synthesize jumps, where jumps are detected based on six non-parametric methods. The results find that considering different jumps information can improve the forecasting accuracy of VIX, especially under MoP strategy, which indicates the existence of spillover effects from jumps of Chinese stock market to the international stock market.
Date: 2024
References: Add references at CitEc
Citations:
Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2023.2205090 (text/html)
Access to full text is restricted to subscribers.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:31:y:2024:i:17:p:1645-1650
Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20
DOI: 10.1080/13504851.2023.2205090
Access Statistics for this article
Applied Economics Letters is currently edited by Anita Phillips
More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().