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Realized volatility forecasting based on rolling SW-SVR method: evidence from CSI 300 index

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  • Hongliang Li
  • Gaoxiu Qiao

Abstract

In this article, we examine realized volatility forecasting based on a new data-driven method, named rolling SW-SVR method. The empirical evidences from the high frequency data of CSI 300 index show that this new method has stronger out-of-sample forecasting ability than the OLS and SVR methods. Its forecasts ability is stable among different forecast horizons, which is confirmed by the out-of-sample $${{\bf{\it{R}}}^2}$$R2 and the MCS test.

Suggested Citation

  • Hongliang Li & Gaoxiu Qiao, 2023. "Realized volatility forecasting based on rolling SW-SVR method: evidence from CSI 300 index," Applied Economics Letters, Taylor & Francis Journals, vol. 30(7), pages 975-980, April.
    • Handle: RePEc:taf:apeclt:v:30:y:2023:i:7:p:975-980
    DOI: 10.1080/13504851.2022.2030853
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