1 resultado para PROBABILISTIC FORECASTS

em WestminsterResearch - UK


Relevância:

20.00% 20.00%

Publicador:

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.