Journal
FINANCE RESEARCH LETTERS
Volume 36, Issue -, Pages -Publisher
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.frl.2020.101749
Keywords
Volatility forecasting; VIX; IDEMV; Global pandemic; COVID-19
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Funding
- Natural Science Foundation of China [71701170, 71902128]
- Humanities and Social Science Fund of the Ministry of Education [17YJC790105, 17XJCZH002]
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The main purpose of this paper is to investigate whether the Infectious Disease EMV tracker (IDEMV) proposed by Baker et al. (2020) has additional predictive ability for European stock market volatility during the COVID-19 pandemic. The three European stock markets we consider are France, UK and Germany. Our investigation is based on the HAR and its augmented models. We find that the IDEMV has stronger predictive power for the France and UK stock markets volatilities during the global pandemic, and the VIX has also superior predictive ability for the three European stock markets during this period.
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