Global stock data accurately predicts Chinese stock market volatility, improving forecasts.
The article forecasts Chinese stock market volatility by using information from global stock markets. They combined different models to make more accurate predictions. The results show that global stock information can help predict Chinese stock market volatility. Combining time-varying parameter models with global stock information improves forecast accuracy and economic value. The best strategy for forecasting the volatile Chinese stock market is using the median combination method. These findings hold true across different scenarios tested in the study.