The role of high-frequency data in volatility forecasting: evidence from the China stock market

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The role of high-frequency data in volatility forecasting: evidence from the China stock market

This research investigates the role of high-frequency data in volatility forecasting of the China stock market by particularly feeding different frequency return series directly into a large number of GARCH versions. The contributions of this research are as follows. 1) We provide clear evidence to...

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Bibliographic Details
Main Authors:	Liu, Min, Lee, Chien Chiang, Choo, Wei Chong
Format:	Article
Language:	English
Published:	Routledge 2021
Online Access:	http://psasir.upm.edu.my/id/eprint/95616/ http://psasir.upm.edu.my/id/eprint/95616/1/The%20role%20of%20high-frequency%20data%20in%20volatility%20forecasting%3B%20evidence%20from%20the%20China%20stock%20market.pdf

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