Answers are grounded in this paper and cite their sources.
This article investigates the forecasting power of economic variables for the Chinese stock market volatility. We find that several economic variables strongly forecast the future monthly volatilities for the aggregate Chinese stock market and a number of industry portfolios. The forecasting power of economic variables remains strong in out-of-sample setting. The predictability of Chinese stock market volatility can be further improved when combining information in all economic variables together.
No takes yet. Share an insight, caveat, or question.
Cai et al. (2015) studied this question.
Synapse has enriched 10 related papers. Consider them for comparative context: