Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5069490 | Finance Research Letters | 2016 | 7 Pages |
Abstract
This paper investigates the information content of the CBOE Gold ETF Volatility Index (GVZ) and jumps in forecasting realized volatility of the Shanghai gold futures market. We find strong in-sample evidence that the GVZ and jumps are significant and both greatly improve next day volatility forecasts. Also, these results are robust when the recent financial crisis is considered. Further, out-of-sample analysis confirms that the GVZ and jumps are important factors in forecasting future volatility. More important, we show that the GVZ outperforms jumps in terms of forecasting performance.
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Authors
Luo Xingguo, Qin Shihua, Zinan Ye,