Forecasting stock market (realized) volatility in the United Kingdom : is there a role of inequality?

dc.contributor.authorHassani, Hossein
dc.contributor.authorYeganegi, Mohammad Reza
dc.contributor.authorGupta, Rangan
dc.contributor.authorDemirer, Riza
dc.date.accessioned2021-06-23T05:16:26Z
dc.date.issued2022-04
dc.description.abstractIn this paper, we analyze the potential role of growth in inequality for forecasting realized volatility of the stock market of the UK. In our forecasting exercise, we use linear and nonlinear models as well as measures of absolute and relative consumption and income inequalities at quarterly frequency over the period of 1975 to 2016. Our results indicate that, while linear models incorporating the information of growth in inequality does produce lower forecast errors, these models do not necessarily outperform the univariate linear and nonlinear models based on formal statistical forecast comparison tests, especially in short- to medium runs. However, at a one-year-ahead horizon, absolute measure of consumption inequality results in significant statistical gains for stock market volatility predictions – possibly due to consumption inequality translating into both political and social uncertainty in the long run.en_ZA
dc.description.departmentEconomicsen_ZA
dc.description.embargo2022-09-27
dc.description.librarianhj2021en_ZA
dc.description.urihttp://wileyonlinelibrary.com/journal/ijfeen_ZA
dc.identifier.citationHassani, H., Yeganegi, M.R., Gupta, R. et al. 2022, 'Forecasting stock market (realized) volatility in the United Kingdom: is there a role of inequality?', International Journal of Finance and Economics, vol. 27, no. 2, pp. 2146-2152, doi : 10.1002/ijfe.2264.en_ZA
dc.identifier.issn1076-9307 (print)
dc.identifier.issn1099-1158 (online)
dc.identifier.other10.1002/ijfe.2264
dc.identifier.urihttp://hdl.handle.net/2263/80542
dc.language.isoenen_ZA
dc.publisherWileyen_ZA
dc.rights© 2020 John Wiley & Sons, Ltd. This is the pre-peer reviewed version of the following article : 'Forecasting stock market (realized) volatility in the United Kingdom: is there a role of inequality?', International Journal of Finance and Economics, vol. 27, no. 2, pp. 2146-2152, 2022, doi : 10.1002/ijfe.2264. The definite version is available at : http://wileyonlinelibrary.com/journal/ijfe.en_ZA
dc.subjectForecastingen_ZA
dc.subjectIncome inequalitiesen_ZA
dc.subjectConsumption inequalitiesen_ZA
dc.subjectLinear and nonlinear modelsen_ZA
dc.subjectRealized volatilityen_ZA
dc.subjectStock marketsen_ZA
dc.subjectUnited Kingdom (UK)en_ZA
dc.titleForecasting stock market (realized) volatility in the United Kingdom : is there a role of inequality?en_ZA
dc.typePostprint Articleen_ZA

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