 Forecasting stock market (realized) volatility in the United Kingdom: Is there a role of inequality?Hossein Hassani, Mohammad Reza Yeganegi, Rangan Gupta and Riza Demirer International Journal of Finance & Economics, 2022, vol. 27, issue 2, 2146-2152 Abstract: In this paper, we analyze the potential role of growth in inequality for forecasting realized volatility of the stock market of the UK. In our forecasting exercise, we use linear and nonlinear models as well as measures of absolute and relative consumption and income inequalities at quarterly frequency over the period of 1975 to 2016. Our results indicate that, while linear models incorporating the information of growth in inequality does produce lower forecast errors, these models do not necessarily outperform the univariate linear and nonlinear models based on formal statistical forecast comparison tests, especially in short‐ to medium runs. However, at a one‐year‐ahead horizon, absolute measure of consumption inequality results in significant statistical gains for stock market volatility predictions – possibly due to consumption inequality translating into both political and social uncertainty in the long run. Date: 2022 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:wly:ijfiec:v:27:y:2022:i:2:p:2146-2152 Ordering information: This journal article can be ordered from 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. |
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