Abstract This paper incorporates the Baidu Index into various heterogeneous autoregressive type time series models and shows that the Baidu Index is a superior predictor of realized volatility in the SSE 50 Index. Furthermore. the predictability of the Baidu Index is found to rise as the forecasting horizon increases. We also find that continuous components enhance predictive power ac... https://mabelandfoxs.shop/product-category/gift-book/