Synthesized jumps and VIX forecasting: Spillover effects from Chinese stock market

Gaoxiu Qiao, Xuekun Ma, Gongyue Jiang and Yijun Pan

Applied Economics Letters, 2024, vol. 31, issue 17, 1645-1650

Abstract: This study examines the spillover effects of jumps and synthesized jumps from Chinese stock market for VIX forecasting. We adopt principal component analysis (PCA) and momentum of predictability (MoP) strategy to synthesize jumps, where jumps are detected based on six non-parametric methods. The results find that considering different jumps information can improve the forecasting accuracy of VIX, especially under MoP strategy, which indicates the existence of spillover effects from jumps of Chinese stock market to the international stock market.

Date: 2024
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DOI: 10.1080/13504851.2023.2205090

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