首页/数据集/Data: Forecasting Chinese stock market volatility: Using a GARCH-MIDAS model with adaptive LASSO method

Data: Forecasting Chinese stock market volatility: Using a GARCH-MIDAS model with adaptive LASSO method

NIAID Data Ecosystem2026-05-10 收录

股市波动率预测

金融计量模型

数据链接：

https://data.mendeley.com/datasets/pd3cymwbsg 数据链接链接失效反馈

官方服务：

资源简介：

Dataset used in the empirical analysis.

应用场景：

创建时间：

2025-10-03

波动分析

金融计量模型

The data presented consist of daily time series of USD/PEN and EUR/PEN exchange rates for the period from January 2015 to June 2024. These data were collected from official sources such as the Superin

DataCite Commons2025-04-01 更新80

The Forecasting Power of the Volatility Index: Evidence from the Indian Stock Market

股市波动率预测

衍生品分析

Stock market volatility is a measure of risk in investment and it plays a key role in securities pricing and risk management. The paper empirically analyzes the relationship between India VIX and vola

NIAID Data Ecosystem60

Can Big Data Help to Predict Conditional Stock Market Volatility? An Application to Brexit

股市波动率预测

事件驱动

Two appendices describing data and offering a sample code for the paper WCan Big Data Help to Predict Conditional Stock Market Volatility? An Application to Brexit" by V. Bellini, M. Guidolin and M. P

NIAID Data Ecosystem40

QLIKE loss function results for four models.

波动率

金融计量模型

This table reports the QLIKE loss function results for the model performance comparison regarding the four models. SRV represents the simplified realized variance, IS represents the in-sample results

Figshare2021-11-29 更新80

Out-of-sample forecasts performance of HAR, HARO, HARV and HAROV.

金融波动率预测

金融计量模型

Out-of-sample forecasts performance of HAR, HARO, HARV and HAROV.

NIAID Data Ecosystem40