Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7376298 | Physica A: Statistical Mechanics and its Applications | 2018 | 7 Pages |
Abstract
In this study, we first investigate the impacts of leverage effect and economic policy uncertainty (EPU) on future volatility in the framework of regime switching. Out-of-sample results show that the HAR-RV including the leverage effect and economic policy uncertainty with regimes can achieve higher forecast accuracy than RV-type and GARCH-class models. Our robustness results further imply that these factors in the framework of regime switching can substantially improve the HAR-RV's forecast performance.
Keywords
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Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Yinying Duan, Wang Chen, Qing Zeng, Zhicao Liu,