首页|Forecasting the Chinese low-carbon index volatility

Forecasting the Chinese low-carbon index volatility

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  • NSTL
  • Elsevier
? 2022 Elsevier LtdThis paper investigates the predictive power of economic policy uncertainty on the Chinese low-carbon market volatility and takes into account realized measures. First, in-sample analysis shows that both economic policy uncertainty and intraday high-frequency information have a significant impact on low-carbon index volatility. Second, out-of-sample evaluations show that the model combining China's economic policy uncertainty and intraday high-frequency information has the best predictive power. Finally, we use several robustness tests of alternative macroeconomic variable, alternative forecasting window, and alternative realized measure to prove that the results of this study are robust. This study enriches the market volatility model research. In addition, it can also promote low-carbon investment and provide a reference for national macro-control.

China'S economic policy uncertaintyGARCH modelRealized measureThe Chinese low-carbon index

Zhao C.、Luo Q.、Li Y.、Mei D.

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School of Mathematics Southwest Jiao Tong University

School of Economics & Management Southwest Jiaotong University

Research Center for Economy of Upper Reaches of the Yangtse River Chongqing Technology and Business University

2022

10.1016/j.resourpol.2022.102732

Resources policy

Resources policy

EISSCI
ISSN：0301-4207
年,卷(期)：2022.77
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