Showing 1 - 10 of 716,314
This paper shows that combinations of option implied and time series volatility forecasts that are conditional on … used in this paper extends the application of conditional predictive ability tests to select forecast combinations. We show … that this method works well in practice by applying it to volatility forecasts for the Mexican Peso-US Dollar exchange rate …
Persistent link: https://www.econbiz.de/10012720373
The volatility of equity and foreign exchange market is an important input to portfolio selection and to asset pricing … models. Many investment decisions and valuation of derivatives frequently rely on predictions of volatility. In this paper we … review the existing empirical literature in forecasting volatility of financial time series. Particularly, we decompose the …
Persistent link: https://www.econbiz.de/10013122403
This paper tests whether it is possible to improve point, quantile and density forecasts of realized volatility by … more information for the evolution of the volatility distribution beyond that contained in its own past. The best …
Persistent link: https://www.econbiz.de/10013013804
This study contrasts GARCH models with diverse combined forecast techniques for Commodities Value at Risk (VaR …
Persistent link: https://www.econbiz.de/10014445140
prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … simple daily ranges and explore the use of these more efficient volatility measures as predictors of daily ranges. The array … forecasts are produced by a realized range based HAR model with a GARCH volatility-of-volatility component. …
Persistent link: https://www.econbiz.de/10010461231
We propose a methodology to include night volatility estimates in the day volatility modeling problem with high … the natural relationship between the realized measure and the conditional variance. This improves volatility modeling by … leverage effect and maintains a mathematical structure that facilitates volatility estimation. A class of bivariate models that …
Persistent link: https://www.econbiz.de/10012160811
and counterparty risks does not improve forecast accuracy and the predictability seems to derive from the econometric …
Persistent link: https://www.econbiz.de/10013119944
-frequency data and, at the same time produces a direct forecast of the variance at the desired horizon, without iterating. The MIDAS … broadly, our study dispels the notion that volatility is not forecastable at long horizons and offers an approach that …
Persistent link: https://www.econbiz.de/10011976983
In this paper, we estimate, model and forecast Realized Range Volatility, a new realized measure and estimator of the …-known stylized effects present in financial data. We consider an HAR model with asymmetric effects with respect to the volatility and … distribution for the innovations. The analysis of the forecast performance during the different periods suggests that including the …
Persistent link: https://www.econbiz.de/10013130487
volatility models(such as GARCH and stochastic volatility). Within the class of realized covariance models we focus on the …
Persistent link: https://www.econbiz.de/10013095084