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Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de; Raunig, Burkhard - 2002
Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...
Persistent link: https://www.econbiz.de/10011431370
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Evaluating Density Forecasts with an Application to Stock Market Returns
Raunig, Burkhard - 2016
Persistent link: https://www.econbiz.de/10012991280
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The forecasting performance of German stock option densities
Craig, Ben R.; Glatzer, Ernst; Keller, Joachim; … - 2003
In this paper we will be estimating risk-neutral densities (RND) for the largest euro area stock market (the index of which is the German DAX), reporting their statistical properties, and evaluating their forecasting performance. We have applied an innovative test procedure to a new, rich, and...
Persistent link: https://www.econbiz.de/10011432259
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Stock index volatility forecasting with high frequency data
Hol Uspensky, Eugenie; Koopman, Siem Jan - 2002
improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source … for longer horizon volatility forecasts. In this paper we explore the forecasting value of these high fre-quency series in … conjunction with a variety of volatility models for returns on the Standard & Poor's 100 stock index. We consider two so …
Persistent link: https://www.econbiz.de/10011326944
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Stock Index Returns' Density Prediction Using GARCH Models : Frequentist or Bayesian Estimation?
Hoogerheide, Lennart F. - 2017
Using well-known GARCH models for density prediction of daily S&P 500 and Nikkei 225 index returns, a comparison is provided between frequentist and Bayesian estimation. No significant difference is found between the qualities of the forecasts of the whole density, whereas the Bayesian approach...
Persistent link: https://www.econbiz.de/10012976219
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Value-at-risk and expected shortfall when there is long range dependence
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008
characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …
Persistent link: https://www.econbiz.de/10003636008
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Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements
Koopman, Siem Jan; Jungbacker, Borus; Hol Uspensky, Eugenie - 2004
improved volatility measurements but has also inspired research into their potential value as an information source for … volatility forecasting. In this paper we explore the forecasting value of historical volatility (extracted from daily return … series), of implied volatility (extracted from option pricing data) and of realised volatility (computed as the sum of …
Persistent link: https://www.econbiz.de/10011334848
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Predicting volatility of bitcoin returns with ARCH, GARCH and EGARCH models
Yildirim, Hakan; Bekun, Festus Victor - In: Future Business Journal 9 (2023), pp. 1-8
market uncertainty and volatility of the investment instruments. Thus, the prediction of the uncertainty and volatilities of … to identify the best fit model that can predict the volatility of return of Bitcoin, which is in high demand as an … the residuals of the average equation model selected have ARCH effect. Volatility of Bitcoin return series after detection …
Persistent link: https://www.econbiz.de/10014382180
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Forecasting Market Index Volatility Using Ross-Recovered Distributions
Gagnon, Marie-Hélène - 2020
(S&P, FTSE, CAC, SMI and DAX), we separate option-implied volatility into Ross-recovered true expected volatility and a … risk preference factor. We investigate whether these factors perform better to forecast realized volatility if constructed … evidence of significantly improved realized volatility forecasts. Models using Ross-recovered value-weighted global measures of …
Persistent link: https://www.econbiz.de/10012851207
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Volatility Modeling and Forecasting of the Egyptian : Stock Market Index using ARCH Models
Ebeid, Said T.; Bedeir Alkholi, Gamal B. A. - 2021
stock price index volatility using daily Egyptian data. The competing Models include GARCH, EGARCH, GJR and APAPCH used with …-tailed asymmetric densities are taken into account in the conditional volatility, is better than symmetric GARCH. Moreover, it is found …-t density is more appropriate for modeling the Egyptian stock market index volatility …
Persistent link: https://www.econbiz.de/10013229604