Investor Sentiment in HAR Volatility Forecasting: Evidence from China's Stock Market
Abstract
and textual data from the Eastmoney Stock Forum, we construct a daily investor sentiment index and incorporate it into HAR-type models.
Empirical results show that investor sentiment has a significantly negative impact on future volatility at daily and weekly horizons, but a positive impact at the monthly horizon. The effect is state dependent, becoming stronger under high volatility conditions. Out of sample forecasts
confirm that the HAR IV IS model outperforms the baseline HAR IV model at longer horizons (one week and one month). These findings
highlight the importance of behavioral factors in volatility prediction.
Keywords
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DOI: http://dx.doi.org/10.70711/frim.v4i6.9688
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