Global Stock Market Volatility Forecasting Incorporating Dynamic Graphs and All Trading Days

Fuente: arXiv
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Autores principales: Chi, Zhengyang, Gao, Junbin, Wang, Chao
Formato: Preprint
Publicado: 2024
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author Chi, Zhengyang
Gao, Junbin
Wang, Chao
author_facet Chi, Zhengyang
Gao, Junbin
Wang, Chao
contents This paper introduces a global stock market volatility forecasting model that enhances forecasting accuracy and practical utility in real-world financial decision-making by integrating dynamic graph structures and encompassing all active trading days of different stock markets. The model employs a spatial-temporal graph neural network architecture to capture the volatility spillover effect, where shocks in one market spread to others through the interconnective global economy. By calculating the volatility spillover index to depict the volatility network as graphs, the model effectively mirrors the volatility dynamics for the chosen stock market indices. In the empirical analysis covering 8 global market indices, the realized volatility forecasting performance of the proposed model surpasses the baseline models in all forecasting scenarios.
format Preprint
id arxiv_https___arxiv_org_abs_2409_15320
institution arXiv
publishDate 2024
record_format arxiv
spellingShingle Global Stock Market Volatility Forecasting Incorporating Dynamic Graphs and All Trading Days
Chi, Zhengyang
Gao, Junbin
Wang, Chao
General Finance
General Economics
Economics
This paper introduces a global stock market volatility forecasting model that enhances forecasting accuracy and practical utility in real-world financial decision-making by integrating dynamic graph structures and encompassing all active trading days of different stock markets. The model employs a spatial-temporal graph neural network architecture to capture the volatility spillover effect, where shocks in one market spread to others through the interconnective global economy. By calculating the volatility spillover index to depict the volatility network as graphs, the model effectively mirrors the volatility dynamics for the chosen stock market indices. In the empirical analysis covering 8 global market indices, the realized volatility forecasting performance of the proposed model surpasses the baseline models in all forecasting scenarios.
title Global Stock Market Volatility Forecasting Incorporating Dynamic Graphs and All Trading Days
topic General Finance
General Economics
Economics
url https://arxiv.org/abs/2409.15320