EconPapers    
Economics at your fingertips  
 

Global equity market volatility forecasting: New evidence

Chao Liang, Yu Wei, Likun Lei and Feng Ma

International Journal of Finance & Economics, 2022, vol. 27, issue 1, 594-609

Abstract: In this paper, we extend the work of Buncic and Gisler, International Journal of Forecasting, 2016, 32, 1317–1339 and investigate that whether US‐based stock volatility information and crude oil volatility information have predictability for forecasting the realized volatility (RV) of global equity markets from both in‐ and out‐of‐sample perspectives in a changing world. The HAR‐RV model is our benchmark model. We utilize two popular shrinkage methods of the elastic net and lasso to solve the overfitting problem. In addition, we establish the HAR‐RV‐AVERAGE model by an easy combination approach. Our empirical results indicate that the HAR‐RV‐AVERAGE model exhibits the best prediction performance in predicting the RV of most indices and developed countries equity markets benefit the most from the inclusion of US‐based crude oil and equity market volatility information, while emerging country stock markets benefit the least, especially for Asian equity indices. Alternative out‐of‐sample periods and alternative volatility estimator confirm the robustness of our results.

Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

Downloads: (external link)
https://doi.org/10.1002/ijfe.2170

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:ijfiec:v:27:y:2022:i:1:p:594-609

Ordering information: This journal article can be ordered from
http://jws-edcv.wile ... PRINT_ISSN=1076-9307

Access Statistics for this article

International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley

More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2022-11-13
Handle: RePEc:wly:ijfiec:v:27:y:2022:i:1:p:594-609