International Stock Market Volatility: a Global Tail Risk Sight
sciencedirect(2023)
摘要
This paper constructs a global tail risk (GTR) index and investigates the role of GTR in predicting the volatility of international stock markets. The results emphasize that GTR contains valuable information to predict the stock volatility of group (7) (G7) countries. In addition, accounting for the information of GTR and regime switching together can further improve the forecasting accuracy of international stock market volatility, especially considering the time-varying regime switching. The results are robust in different robustness checks and even during the global financial crisis period. Our paper tries to provide new evidence for tail risk in international stock market volatility prediction.
更多查看译文
关键词
Global tail risk,Extreme shock,International stock market,Regime switching,Volatility forecasting
AI 理解论文
溯源树
样例
生成溯源树,研究论文发展脉络
Chat Paper
正在生成论文摘要