Search Results - subject:"volatility forecasting"

Information criteria for GARCH model selection

Brooks, Chris; Burke, Simon - In: The European Journal of Finance 9 (2003) 6, pp. 557-580

In this paper, a set of appropriately modified information criteria for selection of models from the AR-GARCH class is derived. It is argued that unmodified or naively modified traditional information criteria cannot be used for order determination in the context of conditionally heteroscedastic...

Persistent link: https://www.econbiz.de/10005471964

Non-linear modelling and forecasting of S&P 500 volatility

Verhoeven, Peter; Pilgram, Berndt; McAleer, Michael; … - In: Mathematics and Computers in Simulation (MATCOM) 59 (2002) 1, pp. 233-241

This paper investigates the use of a flexible forecasting method based on non-linear Markov modelling and canonical variate analysis, and the use of a prediction algorithm to forecast conditional volatility. We assess the dynamic behaviour of the model by forecasting volatility of a stock index....

Persistent link: https://www.econbiz.de/10010748964

Volatility Reprojection and Forecasting Performance -- An EMM Approach toward the Multivariate Stochastic Volatility Model

Jiang, George J.; Sluis, Pieter J. van der - Society for Computational Economics - SCE - 2001

of observables, is consistent with the model specification and at the same time advantageous in volatility forecasting … explanatory power in the common regression analysis of volatility forecasting. However, the performance of volatility forecasting … based on reprojected volatility series is substantially improved. We also illustrate that the volatility forecasting …

Persistent link: https://www.econbiz.de/10005132901

Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model.

Christiansen, Charlotte; Strunk Hansen, Charlotte - Ehrvervøkonomisk Institut, Institut for Økonomi - 2000

Persistent link: https://www.econbiz.de/10005802125