Abstract
We examine the impact of solar and space weather events on the Financial Select Sector SPDR Fund (XLF) price index volatility, spanning the period 1998-2018. Comparing MAPE and RMSFE forecasting criteria, for the ARIMA-GARCH model, augmented with exogenous variables, we find that solar and space weather variables contribute statistically significant information with regard to volatility forecasting.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
