FORECASTING REALIZED VOLATILITY DYNAMICALLY BASED ON ADJUSTED DYNAMIC MODEL AVERAGING (AMDA) APPROACH: EVIDENCE FROM CHINA’S STOCK MARKET

Ping Yuan ()
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Ping Yuan: Antai College of Economics and Management, Shanghai Jiaotong University, Panyu Road No. 655, Xuhui District, Shanghai 200020, P. R. China

Annals of Financial Economics (AFE), 2019, vol. 14, issue 04, 1-21

Abstract: In this study, we forecast the realized volatility of the CSI 300 index using the heterogeneous autoregressive model for realized volatility (HAR-RV) and its various extensions. Our models take into account the time-varying property of the models’ parameters and the volatility of realized volatility. The adjusted dynamic model averaging (ADMA) approach, is used to combine the forecasts of the individual models. Our empirical results suggest that ADMA can generate more accurate forecasts than DMA method and alternative strategies. Models that use time-varying parameters have greater forecasting accuracy than models that use the constant coefficients.

Keywords: CSI 300 index; realized volatility; adjusted dynamic model averaging; time-varying parameters (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1142/S2010495219500222

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