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...

This paper investigates how to improve prediction accuracy of stock realized volatility using a large set of predictors. Exploiting normalized positive adjusted R-square and significant t statistic of predictor obtained from the in-sample result as weight, we develop two simple and effective...

This paper evaluates how investor sentiment contributes to the explanation of idiosyncratic volatility from a firm-level perspective in the Chinese stock market. After constructing a comprehensive firm-specific investor sentiment (FSIS) index using principal component analysis, we find a...