Realized volatility forecasting based on rolling SW-SVR method: evidence from CSI 300 index

ABSTRACT

In this article, we examine realized volatility forecasting based on a new data-driven method, named rolling SW-SVR method. The empirical evidences from the high frequency data of CSI 300 index show that this new method has stronger out-of-sample forecasting ability than the OLS and SVR methods. Its forecasts ability is stable among different forecast horizons, which is confirmed by the out-of-sample $R^2$ and the MCS test.

KEYWORDS:

• Realized volatility
• ROLL-SW-SVR
• CSI 300 index
• forecast ability

JEL CLASSIFICATION:

• G10
• G12
• G14
• G17

Disclosure statement

No potential conflict of interest was reported by the author(s).

Additional information

Funding

This work is supported by the National Natural Science Foundation of China grant (72001180), Humanities and Social Science Fund of Ministry of Education of China (17YJC790119), the Fundamental Research Funds for the Central Universities of China (2682021ZTPY077).