Data: Forecasting Chinese stock market volatility: Using a GARCH-MIDAS model with adaptive LASSO method

Published: 3 October 2025| Version 1 | DOI: 10.17632/pd3cymwbsg.1
Contributor:
Seong-Min Yoon

Description

Dataset used in the empirical analysis.

Files

Steps to reproduce

This research collected a total of 120 monthly data points and 2,568 daily data points from the WIND (https://www.wind.com.cn/portal/zh/Home/index.html) and Yahoo Finance databases (https://finance.yahoo.com/quote/000001.SS/).

Institutions

Pusan National University

Categories

Financial Forecasting, Stock Price, Price Volatility, Lasso Regression

Funders

Licence