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Time-varying predictability of TAIEX volatility

Author

Listed:
  • Ging-Ginq Pan

    (International Bachelor Degree Program in Finance, National Pingtung University Science and Technology)

  • Yung-Ming Shiu

    (College of Commerce National Chengchi University)

  • Tu-Cheng Wu

    (I-Shou University)

Abstract

This study examines the predictability of Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) volatility by showing a time-varying trend. Specifically, the predictability is gradually declining. The empirical method involves accounting for the measurement errors in replacing true volatility with realized volatility and employing an alternative model. Furthermore, we propose three remedial solutions and examine their effects. The findings improve our understanding of the trends in TAIEX volatility predictability and shed light on how to enhance °predictability.

Suggested Citation

  • Ging-Ginq Pan & Yung-Ming Shiu & Tu-Cheng Wu, 2025. "Time-varying predictability of TAIEX volatility," Review of Derivatives Research, Springer, vol. 28(2), pages 1-28, July.
    • Handle: RePEc:kap:revdev:v:28:y:2025:i:2:d:10.1007_s11147-025-09212-9
    DOI: 10.1007/s11147-025-09212-9
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    References listed on IDEAS

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    More about this item

    Keywords

    Realized volatility; Bipower volatility; Risk-neutral moments;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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