Singlehanded or joint race? Stock market volatility prediction

Xinjie Lu, Feng Ma, Jianqiong Wang and Dayong Dong

International Review of Economics & Finance, 2022, vol. 80, issue C, 734-754

Abstract: This paper examines whether the realized skewness and kurtosis contain predictability for Shanghai Stock Exchange Sector Index. We find kurtosis contains more information to predict the Shanghai Stock Exchange Sector Index volatility. Importantly, the model considering the combination of both skewness and kurtosis has the best predictability for the stock market volatility. Moreover, we investigate the economic values of the models and asymmetric effects of skewness and kurtosis on stock market volatility, finding skewness (skewness <0) and kurtosis (kurtosis >3) own better forecasting performance. Finally, we discuss the predictability of skewness and kurtosis during two turbulent periods of China's stock bubble and the COVID-19 pandemic.

Keywords: Volatility forecast; Shanghai stock exchange sector index; Realized volatility; Realized skewness and kurtosis (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:80:y:2022:i:c:p:734-754

DOI: 10.1016/j.iref.2022.03.007

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