Time-varying predictability of TAIEX volatility

Ging-Ginq Pan (), Yung-Ming Shiu () and Tu-Cheng Wu ()
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Ging-Ginq Pan: International Bachelor Degree Program in Finance, National Pingtung University Science and Technology
Yung-Ming Shiu: College of Commerce National Chengchi University
Tu-Cheng Wu: I-Shou University

Review of Derivatives Research, 2025, vol. 28, issue 2, No 1, 28 pages

Abstract: Abstract This study examines the predictability of Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) volatility by showing a time-varying trend. Specifically, the predictability is gradually declining. The empirical method involves accounting for the measurement errors in replacing true volatility with realized volatility and employing an alternative model. Furthermore, we propose three remedial solutions and examine their effects. The findings improve our understanding of the trends in TAIEX volatility predictability and shed light on how to enhance °predictability.

Keywords: Realized volatility; Bipower volatility; Risk-neutral moments (search for similar items in EconPapers)
JEL-codes: C13 C52 C53 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s11147-025-09212-9

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