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AIMS Mathematics

2020, Volume 5, Issue 5: 5094-5105. doi: 10.3934/math.2020327
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Research article

Forecasting stock market volatility: the role of gold and exchange rate

  • College of Mathematics and Statistics, Changsha University of Science and Technology, Hunan, 410114, China
  • Received: 20 April 2020 Accepted: 10 June 2020 Published: 12 June 2020

  • MSC : 91B25, 91B80

  • The objective of our paper is to show that gold and exchange rate volatility is predictive of stock volatility from both in-sample and out-of-sample perspectives. There exists very significant predictability from gold and exchange rate volatility to Hang Seng Index (HSI) return volatility among in-sample results. The out-of-sample results demonstrate the gold and exchange rate volatility extracts significantly useful information for Hang Seng Index (HSI) return volatility. Furthermore, the performance of the predictive ability of gold and exchange rate volatility is robust during business cycles and incremental framework.

    Citation: Zhifeng Dai, Huiting Zhou, Xiaodi Dong. Forecasting stock market volatility: the role of gold and exchange rate[J]. AIMS Mathematics, 2020, 5(5): 5094-5105. doi: 10.3934/math.2020327

    Related Papers:

  • The objective of our paper is to show that gold and exchange rate volatility is predictive of stock volatility from both in-sample and out-of-sample perspectives. There exists very significant predictability from gold and exchange rate volatility to Hang Seng Index (HSI) return volatility among in-sample results. The out-of-sample results demonstrate the gold and exchange rate volatility extracts significantly useful information for Hang Seng Index (HSI) return volatility. Furthermore, the performance of the predictive ability of gold and exchange rate volatility is robust during business cycles and incremental framework.
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    © 2020 the Author(s), licensee AIMS Press. This is an open access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0)
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