Evaluating monthly volatility forecasts using proxies at different frequencies
| Data(s) |
02/02/2016
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|---|---|
| Resumo |
This paper analyses the forecastability of stock returns monthly volatility. The forecast obtained from GARCH and AGARCH models with Normal and Student's t errors are evaluated with respect to proxies for the unobserved volatility obtained through sampling at different frequencies. It is found that aggregation of daily multi-step ahead GARCH-type forecasts provide rather accurate predictions of monthly volatility. |
| Identificador |
http://westminsterresearch.wmin.ac.uk/16613/1/FRL-15-257_Revised.pdf http://westminsterresearch.wmin.ac.uk/16613/2/Supplementary%20material.pdf http://westminsterresearch.wmin.ac.uk/16613/3/FRL.pdf Ñíguez, T.M. (2016) Evaluating monthly volatility forecasts using proxies at different frequencies. Finance Research Letters, 17. pp. 41-47. ISSN 1544-6123 |
| Publicador |
Elsevier |
| Relação |
http://westminsterresearch.wmin.ac.uk/16613/ https://dx.doi.org/10.1016/j.frl.2016.01.008 10.1016/j.frl.2016.01.008 |
| Palavras-Chave | #Westminster Business School |
| Tipo |
Article PeerReviewed |
| Formato |
application/pdf application/pdf application/pdf |
| Idioma(s) |
en en en |
