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 and the MCS test.
Disclosure statement
No potential conflict of interest was reported by the author(s).