论文题目：Crossproduct Effect and Volatility Forecasting

刊物名称：Journal of Forecasting

发表时间：2025年7月

刊物期号：2025年第4期

论文摘要：

This paper explores if the crossproduct of return and realized volatility measure contributes to volatility forecasting. We find there is an asymmetric crossproduct effect in volatility and propose a realized asymmetric GARCH (henceforth RealAGARCH) model. The RealAGARCH model is a generalization to the absolute GARCH and the asymmetric GARCH. Moreover, the RealAGARCH model has a news impact surface instead of a news impact curve, which makes it different from other GARCH-like models. Empirical performance of the RealAGARCH model is evaluated on a variety of stock indices, and the results show dominance of RealAGARCH over the benchmark RealGARCH judging by either in-sample or out-of-sample forecasting performance. A battery of checks confirm the robustness of our findings and thus the importance of incorporating crossproduct effect into volatility forecasting.

关键字：crossproduct effect, news impact curve, news impact surface, RealAGARCH, volatility forecasting

博士生简介：

徐佳福，果冻传媒 2023级博士研究生，研究方向为波动率预测及应用，中共党员。