{"entities":{"Q2187983":{"pageid":2198726,"ns":120,"title":"Item:Q2187983","lastrevid":57282447,"modified":"2026-03-27T20:33:21Z","type":"item","id":"Q2187983","labels":{"en":{"language":"en","value":"Forecasting volatility with time-varying coefficient regressions"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 7207892"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2187983$59D59C78-CBC3-4822-861C-8D3E187B816C","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"06e9bf05d623da58204f88a21c8cea8709c82f19","datavalue":{"value":{"text":"Forecasting volatility with time-varying coefficient regressions","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q2187983$760EA2D1-A7A0-4B83-A94A-CB84F5C7C00A","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"9360d390bc2e1c253f63f28711d194ced4b53ad5","datavalue":{"value":"1459.91118","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2187983$289A8337-0840-484D-AB4E-45CE18592889","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"c5803ca85169f914e303e51ce70a36e504e74974","datavalue":{"value":"10.1155/2020/3151473","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2187983$FC04A87E-1DE1-4671-AC1B-69C5EC6111D9","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"121ff130a48155161a9ba1c51eff23d9f5683c69","datavalue":{"value":{"entity-type":"item","numeric-id":2187982,"id":"Q2187982"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2187983$FDB8A649-EF9D-4FC3-A5E1-5C5029F4E0B8","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"1f55c157a1acfbec76460524d05244f332f7f6c6","datavalue":{"value":{"entity-type":"item","numeric-id":515080,"id":"Q515080"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2187983$369036B9-795F-4121-BC43-2C5F3248CAEB","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"d6dacd76f08be6d086b78ba54a6a8a0f7b84bd04","datavalue":{"value":{"entity-type":"item","numeric-id":517578,"id":"Q517578"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2187983$9CD03F1B-5740-4328-90AD-69BAF4F27A9C","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"e5ea7bc024fe2946ca15646035f056e2ab96db7a","datavalue":{"value":{"entity-type":"item","numeric-id":169945,"id":"Q169945"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2187983$E2A6BBF6-5DEE-4496-89F3-87E58B6CFE97","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"b214106c756a3d34dbf10e1c468109b099d9547c","datavalue":{"value":{"time":"+2020-06-03T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q2187983$82D18A06-CF16-4C25-BD09-16B61B9FF4F7","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"f07a574aeaeb5fa03f15adedd8feb4806147c45c","datavalue":{"value":"Summary: We extend the heterogeneous autoregressive- (HAR-) type models by explicitly considering the time variation of coefficients in a Bayesian framework and comprehensively comparing the performances of these time-varying coefficient models and constant coefficient models in forecasting the volatility of the Shanghai Stock Exchange Composite Index (SSEC). The empirical results suggest that time-varying coefficient models do generate more accurate out-of-sample forecasts than the corresponding constant coefficient models. By capturing and studying the time series of time-varying coefficients of the predictors, we find that the coefficients (predictive ability) of heterogeneous volatilities are negatively correlated and the leverage effect is not significant or inverse during certain periods. Portfolio exercises also demonstrate the superiority of time-varying coefficient models.","type":"string"},"datatype":"string"},"type":"statement","id":"Q2187983$73DD8504-C4CF-4DF6-98D2-EA9E4BBBD6F6","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"325e035d1812352c3a83010cdc35176514b19a00","datavalue":{"value":"91B84","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2187983$FEBDB9DF-9F23-4AF8-B6B4-3E37DAAE0FBD","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"3866ee96b4b7ddfafdb7b788eaa87fdd43bbf474","datavalue":{"value":"62G05","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2187983$158A27A9-6B91-4E5F-91E1-31FB775A243F","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"d5a1e571e684e5abfac64fee8f65cecde6e0b4f6","datavalue":{"value":"7207892","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2187983$B9EDFF99-2D47-400E-AA22-A27F91A3A473","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2187983$5416F8A7-B70C-4CFF-AE01-CADD082E41AE","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"c15ca939594e0fe4cd2ddd8626099c2f7c402c9f","datavalue":{"value":"https://doi.org/10.1155/2020/3151473","type":"string"},"datatype":"url"},"type":"statement","id":"Q2187983$579CC7FB-93D3-42D8-B7A0-CFD89FDA91C8","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"c60c853c2bd26d3c402c156c1fcdd319c2390984","datavalue":{"value":"W3022934732","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2187983$29169841-F8A7-4A84-9929-5E25DF6D22D5","rank":"normal"}],"P223":[{"mainsnak":{"snaktype":"value","property":"P223","hash":"1dd49b833dd742d611c19e0150bea1fd33444adc","datavalue":{"value":{"entity-type":"item","numeric-id":1821471,"id":"Q1821471"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2187983$E860094A-2303-46E7-A7AC-A725478FFA9F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"9a224e226e0cc5829a98aab8619cd2bb1b69712a","datavalue":{"value":{"entity-type":"item","numeric-id":3953065,"id":"Q3953065"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2187983$57766E46-D1B4-46C0-AC0D-76A38E0AA5A6","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"da2986a3e099bbf8f39aa572324ce45ca4d94a8e","datavalue":{"value":{"entity-type":"item","numeric-id":3210032,"id":"Q3210032"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2187983$7B916ECD-F750-4355-BF13-94D43D376738","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"6b98d178087868855a8375e6df9efcc52c436870","datavalue":{"value":{"entity-type":"item","numeric-id":737246,"id":"Q737246"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2187983$97861B30-69D8-429A-9728-F29FFE69751B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"c9b6e4b5e91f8f7464b23aef2e806ec2b3ac371a","datavalue":{"value":{"entity-type":"item","numeric-id":4554245,"id":"Q4554245"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2187983$B23F8713-58EB-463C-B01F-035B3DF559CF","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"66bfb682c46c956f2d5336943dd6f59c41e188e2","datavalue":{"value":{"entity-type":"item","numeric-id":4646481,"id":"Q4646481"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2187983$334D0780-2C30-48AC-BE82-0CF1D8716395","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"8c83c892d42c5bc61a30f3ae040b8ecb44c3e97f","datavalue":{"value":{"entity-type":"item","numeric-id":265108,"id":"Q265108"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2187983$3AB0F333-F858-4130-8FD7-313EA05280E8","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"1ce1f1e05c31d661e9d5635dfd93174799d7abb9","datavalue":{"value":{"entity-type":"item","numeric-id":3625281,"id":"Q3625281"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2187983$AD3B3751-8436-492A-82FE-C5676D3E0AF4","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"22bbaa2240ab5d883305e539e1c622cea3cddf04","datavalue":{"value":{"entity-type":"item","numeric-id":737280,"id":"Q737280"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2187983$59DBB139-5686-488D-8177-5BBCB7486B72","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"fd438c4c9c559662b4b2a6ea9b375c22fd80d909","datavalue":{"value":{"entity-type":"item","numeric-id":804457,"id":"Q804457"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2187983$030E0B11-F2D9-4E74-971C-7A62FE96D30B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"0ddcdf4fc34a414442549c69cf91a9a57881302a","datavalue":{"value":{"entity-type":"item","numeric-id":3099630,"id":"Q3099630"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2187983$B6D2E544-4FFF-4385-AAB2-206EFF70D060","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"24e6681f071c1a652755dc460923751499ac484c","datavalue":{"value":{"entity-type":"item","numeric-id":3802438,"id":"Q3802438"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2187983$131E59F9-A902-4D78-B448-5D4AC80E8A44","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"6045ad7f820f2732773bda06c102c2d3079ad25c","datavalue":{"value":{"entity-type":"item","numeric-id":1188579,"id":"Q1188579"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2187983$BAAEC22D-DD9E-408B-AE4A-0285F962E0C2","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"236e21764a2e0f875a616cd50393ccfaba846520","datavalue":{"value":{"entity-type":"item","numeric-id":3058570,"id":"Q3058570"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2187983$D2031D6D-CADE-49F3-B441-BEC33E5B921A","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"3a72fa585e60908ba3833e6f24023dba0d1abfb3","datavalue":{"value":{"entity-type":"item","numeric-id":1341198,"id":"Q1341198"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2187983$D4111AE3-67EC-4FB8-8854-2A1D013D0F1D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"848c2883b80cbb4fe7717f8d685dd32b26769444","datavalue":{"value":{"entity-type":"item","numeric-id":527980,"id":"Q527980"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2187983$5BDFEC2A-8383-474D-B31A-1D1D3B2AFBFC","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"d1993e6c23546fc3d44c2176edf6315c53b12034","datavalue":{"value":{"entity-type":"item","numeric-id":4687622,"id":"Q4687622"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"db6f13f56150ea87d254d913e3b4611fc31800fe","datavalue":{"value":{"amount":"+0.8446560502052307","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2187983$79C5DCA1-36AB-403D-A41F-CB268EBC3859","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"8e19fb0288b49fad480c84e1e231c7df07ecfe57","datavalue":{"value":{"entity-type":"item","numeric-id":3646953,"id":"Q3646953"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"7267a3afb9fe4cc8cf340541e36996dd466de17d","datavalue":{"value":{"amount":"+0.8009453415870667","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2187983$161E63F7-391B-4ACF-9529-164A98F0B25B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"06928af111b0beb76e62b57d919b81be56b3f0fb","datavalue":{"value":{"entity-type":"item","numeric-id":5092664,"id":"Q5092664"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"bd5ce3e1aedb6cac9fef4dda4ba32a602fbd34d4","datavalue":{"value":{"amount":"+0.7697986364364624","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2187983$FED473BF-205A-4DE2-A620-271292C06151","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"a0aefc0c62c0b4b077521fdbafd470bae0783ff1","datavalue":{"value":{"entity-type":"item","numeric-id":1670220,"id":"Q1670220"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"1e3fb8b0d5ae09e8778aa2740f65d0c7360ce795","datavalue":{"value":{"amount":"+0.7688054442405701","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2187983$C83EF7B6-7735-4C81-9013-15DAA3561BB5","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"e1852d92d5bd5f1ac89332c97eef29134e286142","datavalue":{"value":{"entity-type":"item","numeric-id":530371,"id":"Q530371"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"cf67cd69b28c73eec6ce0cb0b82022273aa2740e","datavalue":{"value":{"amount":"+0.7643037438392639","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2187983$BE9D37DE-EB50-42EC-A3B1-D9C785A9D90A","rank":"normal"}],"P163":[{"mainsnak":{"snaktype":"value","property":"P163","hash":"45fcd4163b5f33e6e8c784f5522d7246c0a1a61e","datavalue":{"value":{"entity-type":"item","numeric-id":57056,"id":"Q57056"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2187983$8028AA9A-B228-45D6-A54F-7EF6FFDA799A","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Publication:2187983","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Publication:2187983"}}}}}