---
title: Forecasting Stock Market Volatility with Realized Volatility
url: https://www.ml-quant.com/papers/ssrn/4578463/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4578463
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4578463
featured: 2023-09-21
citations: unknown
topic: Derivatives & Volatility
---


# Forecasting Stock Market Volatility with Realized Volatility

The paper presents the REGARCH-CDJI model for predicting stock market volatility, which performs better than other models when applied to Shanghai Stock Exchange Composite index data.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4578463
- Identifier: SSRN 4578463
- Released: 2023-09-21
- First featured: Quant Letter No. 16 (2023-09-21): https://www.ml-quant.com/issues/2023-09-21/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

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