Volatility Forecasting and Return Prediction under Market Regimes: Evidence from High-Frequency Chinese Equity Data
“The empirical results demonstrate that regime-aware volatility forecasting consistently outperforms baseline HARQ models across forecast evaluation metrics and is generally supported by formal forecast comparison tests.”
AssetEquitiesindices
StrategyMachine learninglow-volatility anomaly
TechniqueTree ensembleclassical time series
GeographyChina
Also stated: Intraday, 2005–2023, Excess return, Price and volume, out-of-sample test, costs
Missing from abstract: benchmark, multiple testing, universe
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