Predicting volatility of the Shanghai silver futures market: What is the role of the U.S. options market?
Xingguo Luo and
Finance Research Letters, 2015, vol. 15, issue C, 68-77
This paper investigates whether the CBOE Silver ETF Volatility Index (VXSLV), which is the implied volatility calculated from the U.S. options market, contains information for predicting the volatility of the Shanghai silver futures market. In particular, we compare its performance with variables observed in the Chinese market. We find both in-sample and out-of-sample evidence that the VXSLV significantly improves daily and weekly volatility forecasts based on realized volatilities. Moreover, when market variables including trading volume, open interest and momentum are included, the VXSLV remains significant and enhances the forecasting performance of the market variables.
Keywords: Silver futures; Volatility forecasting; Volatility index (search for similar items in EconPapers)
JEL-codes: G14 G13 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:15:y:2015:i:c:p:68-77
Access Statistics for this article
Finance Research Letters is currently edited by R. GenÃ§ay
More articles in Finance Research Letters from Elsevier
Series data maintained by Dana Niculescu ().