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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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Routledge
2021
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| Online Access: | 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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