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The forecasting ability of solar and space weather data on NASDAQ’s finance sector price index volatility

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  • Daglis, Theodoros
  • Konstantakis, Konstantinos N.
  • Michaelides, Panayotis G.
  • Papadakis, Theodoulos Eleftherios

Abstract

We examine the impact of solar and space weather events on the Financial Select Sector SPDR Fund (XLF) price index volatility, spanning the period 1998-2018. Comparing MAPE and RMSFE forecasting criteria, for the ARIMA-GARCH model, augmented with exogenous variables, we find that solar and space weather variables contribute statistically significant information with regard to volatility forecasting.

Suggested Citation

  • Daglis, Theodoros & Konstantakis, Konstantinos N. & Michaelides, Panayotis G. & Papadakis, Theodoulos Eleftherios, 2020. "The forecasting ability of solar and space weather data on NASDAQ’s finance sector price index volatility," Research in International Business and Finance, Elsevier, vol. 52(C).
    • Handle: RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919307639
    DOI: 10.1016/j.ribaf.2019.101147
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    Cited by:

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