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Time-varying predictability of TAIEX volatility

Ging‐Ginq Pan et al.

Review of Derivatives Research2025https://doi.org/10.1007/s11147-025-09212-9article
AJG 2ABDC B
Weight
0.50

What the paper says

This study examines the predictability of Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) volatility by showing a time-varying trend. Specifically, the predictability is gradually declining. The empirical method involves accounting for the measurement errors in replacing true volatility with realized volatility and employing an alternative model. Furthermore, we propose three remedial solutions and examine their effects. The findings improve our understanding of the trends in TAIEX volatility predictability and shed light on how to enhance °predictability.

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https://doi.org/https://doi.org/10.1007/s11147-025-09212-9

Or copy a formatted citation

@article{ging‐ginq2025,
  title        = {{Time-varying predictability of TAIEX volatility}},
  author       = {Ging‐Ginq Pan et al.},
  journal      = {Review of Derivatives Research},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1007/s11147-025-09212-9},
}

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Time-varying predictability of TAIEX volatility

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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