Which component of air quality index drives stock price volatility in China: a decomposition-based forecasting method
Finance Research Letters(2023)
摘要
•This paper proposes several prediction models by a decomposition-based prediction method.•The Air Quality Index affects stock market volatility from different channels.•The trend component of the Air Quality Index provides more effective information.•The model including the trend component has the best predictive performance.
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关键词
Air quality index,Stock prices volatility forecast,STL decomposition,GARCH-MIDAS,JEL classification: C22,G11,G12,G17
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