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Uncertainty index and stock volatility prediction : evidence from international markets

Gong, Xue; Zhang, Weiguo; Xu, Weijun; Li, Zhe - In: Financial innovation : FIN 8 (2022), pp. 1-44

This study investigates the predictability of a fixed uncertainty index (UI) for realized variances (volatility) in the international stock markets from a high-frequency perspective. We construct a composite UI based on the scaled principal component analysis (s-PCA) method and demonstrate that...

Persistent link: https://www.econbiz.de/10013272632