文章基本信息

标题：Forecasting Volatility with Time-Varying Coefficient Regressions
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作者：Qifeng Zhu ; Miman You ; Shan Wu 等
期刊名称：Discrete Dynamics in Nature and Society
印刷版ISSN：1026-0226
电子版ISSN：1607-887X
出版年度：2020
卷号：2020
页码：1-13
DOI：10.1155/2020/3151473
出版社：Hindawi Publishing Corporation
摘要：We extend the heterogeneous autoregressive- (HAR-) type models by explicitly considering the time variation of coefficients in a Bayesian framework and comprehensively comparing the performances of these time-varying coefficient models and constant coefficient models in forecasting the volatility of the Shanghai Stock Exchange Composite Index (SSEC). The empirical results suggest that time-varying coefficient models do generate more accurate out-of-sample forecasts than the corresponding constant coefficient models. By capturing and studying the time series of time-varying coefficients of the predictors, we find that the coefficients (predictive ability) of heterogeneous volatilities are negatively correlated and the leverage effect is not significant or inverse during certain periods. Portfolio exercises also demonstrate the superiority of time-varying coefficient models.