Forecasting stock market volatility: the role of gold and exchange rate

The objective of our paper is to show that gold and exchange rate volatility is predictive of stock volatility from both in-sample and out-of-sample perspectives. There exists very significant predictability from gold and exchange rate volatility to Hang Seng Index (HSI) return volatility among in-s...

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Bibliographic Details
Main Authors: Zhifeng Dai, Huiting Zhou, Xiaodi Dong
Format: Artigo
Language:Inglês
Published: AIMS Press 2020-07-01
Series:AIMS Mathematics
Subjects:
stock return volatility
gold
exchange rate
prediction ability
forecasting
Online Access:https://www.aimspress.com/article/10.3934/math.2020327/fulltext.html
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