Volatility Forecasting Based on Cyclical Two-Component Model: Evidence from Chinese Futures Markets and Sector Stocks
This article aims to study the schemes of forecasting the volatilities of Chinese futures markets and sector stocks. An improved method based on the cyclical two-component model (CTCM) introduced by Harris et al. in 2011 is provided. The performance of CTCM is compared with the benchmark model: Hete...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-09-01
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| Series: | Mathematical and Computational Applications |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2297-8747/25/3/59 |