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The role of US implied volatility index in forecasting Chinese stock market volatility: Evidence from HAR models

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  • Xiao, Jihong
  • Wen, Fenghua
  • Zhao, Yupei
  • Wang, Xiong

Abstract

The US implied volatility index (VIX) is a popular proxy for global financial market uncertainty. This paper aims to assess the role of this proxy in forecasting the Chinese stock market volatility, as China’s globalization trend is strengthening. For this purpose, we develop six heterogeneous autoregressive (HAR) models allowing for VIX changes to forecast the Chinese stock market volatility. The in-sample and out-of-sample results show the VIX changes can improve the volatility forecasting in the Chinese stock market but mainly show improvement for the bad volatility forecasting rather than for good volatility forecasting. Additionally, such forecasting improvement is sizable at the short-run prediction horizon but weakens as the prediction horizon increases. Our results also remain robust by using alternative evaluation methods and alternative HAR models.

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  • Xiao, Jihong & Wen, Fenghua & Zhao, Yupei & Wang, Xiong, 2021. "The role of US implied volatility index in forecasting Chinese stock market volatility: Evidence from HAR models," International Review of Economics & Finance, Elsevier, vol. 74(C), pages 311-333.
    • Handle: RePEc:eee:reveco:v:74:y:2021:i:c:p:311-333
    DOI: 10.1016/j.iref.2021.03.010
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    More about this item

    Keywords

    Volatility forecasting; Chinese stock market; VIX; Good and bad volatilities; HAR models;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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