The forecasting ability of solar and space weather data on NASDAQ’s finance sector price index volatility

Theodoros Daglis, Konstantinos Konstantakis, Panayotis Michaelides and Theodoulos Eleftherios Papadakis

Research in International Business and Finance, 2020, vol. 52, issue C

Abstract: We examine the impact of solar and space weather events on the Financial Select Sector SPDR Fund (XLF) price index volatility, spanning the period 1998-2018. Comparing MAPE and RMSFE forecasting criteria, for the ARIMA-GARCH model, augmented with exogenous variables, we find that solar and space weather variables contribute statistically significant information with regard to volatility forecasting.

Keywords: Solar activity; Space weather; Volatility; Forecasting (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919307639

DOI: 10.1016/j.ribaf.2019.101147

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