摘要：This paper is to detect the role of CBOE gold ETF volatility index (GVZ), CBOE silver ETF volatility index (VXSLV), and constructed Chinese investor sentiment (CnSENT) on the volatility forecasting of China silver futures over daily, weekly and monthly horizons. Different types of HAR models and ridge regression models are utilized to do the analysis, and the out-of-sample R-square statistics and different rolling window sizes are used to ensure the robustness of the conclusion. The empirical results suggest that GVZ and VXSLV have the explanatory power on the China silver futures. Particularly, VXSLV has a better performance than GVZ. However, the predictive power of CnSENT is doubtful as some results indicate that it cannot improve the prediction accuracy. Additionally, the ridge regression method does not achieve a better result than all types of HAR models.
