Realized volatility forecasting based on rolling SW-SVR method: evidence from CSI 300 index

Hongliang Li and Gaoxiu Qiao

Applied Economics Letters, 2023, vol. 30, issue 7, 975-980

Abstract: In this article, we examine realized volatility forecasting based on a new data-driven method, named rolling SW-SVR method. The empirical evidences from the high frequency data of CSI 300 index show that this new method has stronger out-of-sample forecasting ability than the OLS and SVR methods. Its forecasts ability is stable among different forecast horizons, which is confirmed by the out-of-sample $${{\bf{\it{R}}}^2}$$R2 and the MCS test.

Date: 2023
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DOI: 10.1080/13504851.2022.2030853

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