The information content of implied volatility and jumps in forecasting volatility: Evidence from the Shanghai gold futures market
Shihua Qin and
Finance Research Letters, 2016, vol. 19, issue C, 105-111
This paper investigates the information content of the CBOE Gold ETF Volatility Index (GVZ) and jumps in forecasting realized volatility of the Shanghai gold futures market. We find strong in-sample evidence that the GVZ and jumps are significant and both greatly improve next day volatility forecasts. Also, these results are robust when the recent financial crisis is considered. Further, out-of-sample analysis confirms that the GVZ and jumps are important factors in forecasting future volatility. More important, we show that the GVZ outperforms jumps in terms of forecasting performance.
Keywords: Gold futures; Realized volatility; Volatility forecasting; Volatility Index (search for similar items in EconPapers)
JEL-codes: G14 G13 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:19:y:2016:i:c:p:105-111
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