Cross-sectional return dispersion and volatility prediction
We use intraday and daily data to examine the impact of cross-sectional return dispersion on volatility forecasting in the Chinese equity market. We adopt the GARCH, GJR-GARCH, and HAR models and, by augmenting them with return dispersion measures, provide empirical evidence that the return dispersi...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
2019
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/59531/ |