Business Applications and State-Level Stock Market Realized Volatility: A Forecasting Experiment

Matteo Bonato, Oguzhan Cepni, Rangan Gupta, Christian Pierdzioch

Publikation: Working paperForskning

Abstract

We analyze the predictive value of state-level business applications, as a proxy of local investor sentiment, for the state-level realized US stock-market volatility. We use highfrequency data for the period from September, 2011 to October, 2021 to compute realized volatility. We show, using an extended version of the popular heterogenous autoregressive realized volatility model, that business applications have predictive value at intermediate and long prediction horizons, after controlling for realized moments (realized skewness, realized kurtosis, realized tail risks), for realized state-level stock-market volatility, and for upside ("good") and downside ("bad") realized volatility.
OriginalsprogEngelsk
UdgivelsesstedPretoria
UdgiverUniversity of Pretoria
Antal sider22
StatusUdgivet - okt. 2022
NavnWorking Paper Series / Department of Economics. University of Pretoria
Nummer2022-47

Emneord

  • State-level stock markets
  • State-level investor sentiment
  • Business applications
  • Realized volatility
  • Forecasting

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