Investor attention and the predictability of the volatility of CNY‐CNH spreads: Evidence from a GARCH‐MIDAS model
Xiaoping Li,
Zhipeng Zhang,
Junyu Pan
et al.
Abstract:Combining the four aspects of self‐, macro, environmental, and policy attention, using backward‐looking rolling regressions, we construct novel international and domestic investor‐attention indices using the search volume index from Google Trends together with Baidu Index to investigate how investor attention affects the CNY‐CNH spreads volatility. Moreover, comparing different GARCH‐MIDAS models and conventional GARCH‐type models is conducted concerning the out‐of‐sample volatility forecasting capability. Our… Show more
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