-switching models, and forecast combination to predict the dynamics in the S&P 500. First, we aggregate the weekly information of 115 …

the stock market. We find that the volatility forecast horizon is substantially longer when the market is in a bear state … than when it is in a bull state. In addition, the volatility forecast accuracy is higher and forecast bias is lower when … strongest during bad economic times. In line with this evidence, we document that stock volatility predictability is also state …

Chinese daily overnight stock returns, while positively forecast next-day Chinese daytime stock returns. The US volatility …This paper investigates the predictive ability of international volatility risk for the daily aggregate Chinese stock … market returns. We employ the innovations in implied volatility indices of seven major international markets as our …

We propose the use of a risk measure built on flight-to-safety (FTS) episodes into a volatility forecasting model. We … bond and gold markets. By allowing each FTS day to be an indicator of higher future volatility, we document statistically …. Superior model performance is found over some of the most common volatility forecasting models proposed in the literature that …

The benefits of using flight-to-safety (FTS) in volatility forecasting are assessed within a multivariate GARCH … volatility. Moreover, when comparing with a benchmark and controlling for data snooping, we find that the proposed model yields …

to predict future S&P realized volatility. We evaluate the aggregate volatility predictions of regularization methods … (Ridge, Lasso, and Elastic Net), tree-based methods (Random forest and Gradient boosting), and forecast combination methods … main drivers of aggregate volatility are several financial and macroeconomic uncertainty proxies …

This article studies the risk forecasting properties of three realized volatility models for three Chinese individual … and account for a larger proportion in realized volatility. Further, I compare the Value-at-risk (VaR) forecasting … performances of three commonly used realized volatility models for the three Chinese stocks. Two-step VaR backtesting shows that a …