International stock market volatility: A global tail risk sight

Xinjie Lu, Qing Zeng, Juandan Zhong and Bo Zhu

Journal of International Financial Markets, Institutions and Money, 2024, vol. 91, issue C

Abstract: This paper constructs a global tail risk (GTR) index and investigates the role of GTR in predicting the volatility of international stock markets. The results emphasize that GTR contains valuable information to predict the stock volatility of group (7) (G7) countries. In addition, accounting for the information of GTR and regime switching together can further improve the forecasting accuracy of international stock market volatility, especially considering the time-varying regime switching. The results are robust in different robustness checks and even during the global financial crisis period. Our paper tries to provide new evidence for tail risk in international stock market volatility prediction.

Keywords: Global tail risk; Extreme shock; International stock market; Regime switching; Volatility forecasting (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001725

DOI: 10.1016/j.intfin.2023.101904

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