Which popular predictor is more useful to forecast international stock markets during the coronavirus pandemic : VIX vs EPU?
© 2020 Elsevier Inc. All rights reserved..
This study mainly investigates which predictors (VIX or EPU index) are useful to forecast future volatility for 19 equity indices based on HAR framework during coronavirus pandemic. Out-of-sample analysis shows that the HAR-RV-VIX model exhibits superior forecasting performance for 12 stock markets, while EPU index just can improve forecast accuracy for 5 equity indices, implying that VIX index is more useful for most stock markets' future volatility during coronavirus crisis. The results are robust in recursive window method, alternative realized measures and sub-sample analysis; moreover, VIX index still contains the strongest predictive ability by considering kitchen sink model and mean combination forecast. Furthermore, we further discuss the predictive effect of VIX and EPU index before the coronavirus crisis. Our article provides policy makers, researchers and investors with new insights into exploiting the predictive ability of VIX and EPU index for international stock markets during coronavirus pandemic.
| Medienart: |
E-Artikel |
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| Erscheinungsjahr: |
2020 |
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| Erschienen: |
2020 |
| Enthalten in: |
Zur Gesamtaufnahme - volume:72 |
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| Enthalten in: |
International review of financial analysis - 72(2020) vom: 15. Nov., Seite 101596 |
| Sprache: |
Englisch |
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| Beteiligte Personen: |
Wang, Jiqian [VerfasserIn] |
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| Links: |
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| Themen: |
COVID-19 |
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| Anmerkungen: |
Date Revised 15.04.2024 published: Print-Electronic Citation Status PubMed-not-MEDLINE |
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| doi: |
10.1016/j.irfa.2020.101596 |
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| funding: |
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| Förderinstitution / Projekttitel: |
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| 520 | |a © 2020 Elsevier Inc. All rights reserved. | ||
| 520 | |a This study mainly investigates which predictors (VIX or EPU index) are useful to forecast future volatility for 19 equity indices based on HAR framework during coronavirus pandemic. Out-of-sample analysis shows that the HAR-RV-VIX model exhibits superior forecasting performance for 12 stock markets, while EPU index just can improve forecast accuracy for 5 equity indices, implying that VIX index is more useful for most stock markets' future volatility during coronavirus crisis. The results are robust in recursive window method, alternative realized measures and sub-sample analysis; moreover, VIX index still contains the strongest predictive ability by considering kitchen sink model and mean combination forecast. Furthermore, we further discuss the predictive effect of VIX and EPU index before the coronavirus crisis. Our article provides policy makers, researchers and investors with new insights into exploiting the predictive ability of VIX and EPU index for international stock markets during coronavirus pandemic | ||
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