S&P 500 Index and Volatility Forecast of Chinese Stock Market

The main purpose of this article is to examine the role S&P 500 index in predicting volatility China's stock market. Our work based on autoregressive model (AR). We further extend simple benchmark by adding index. Intrasample regression shows that after indicator, overall goodness fit rising, explanatory ability enhanced, and added variables are also very significant. out sample prediction that, terms statistical test, extended has a positive R-square compared with model, passed CW test; In economic we find CER Sharp Ratio (SR) model. predictions these two aspects show newly good effect. addition, conducted various robustness tests, such as replacing previous dependent variable (Shanghai Stock Exchange Index) CSI 300 index, window rolling for prediction, extending single period multi prediction. forecast, found only effective short period, example, within 3 months, but cannot play predictive when it 6 months.