Ma, Feng; Wang, Jiqian; Wahab, M. I. M.; Ma, Yuanhui - 2022
This study develops a prevailing shrinkage method, LASSO with Markov regime-switching model (MRS-LASSO), to predict the US stock market volatility. Totally 17 famous macroeconomic and financial factors are used in this research. The out-of-sample results reveal the MRS-LASSO model can...