Search Results - subject:"volatility forecasting."

Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors

Alessi, Lucia; Barigozzi, Matteo; Capasso, Marco - European Central Bank - 2009

We propose a new method for multivariate forecasting which combines Dynamic Factor and multivariate GARCH models. The information contained in large datasets is captured by few dynamic common factors, which we assume being conditionally heteroskedastic. After presenting the model, we propose a...

Persistent link: https://www.econbiz.de/10008458420

The Economic Value of Volatility Timing in the Athens Stock Exchange

Vortelinos, Dimitrios - Department of Economics, University of Peloponnese - 2009

This paper examines the economic value of various realized volatility and covariance estimators under the strategy of volatility timing. There are used three types of portfolios: Global Minimum Variance, Capital Market Line kai Capital Market Line with only positive weights. The state-of-the-art...

Persistent link: https://www.econbiz.de/10008461727

A Simple Expected Volatility (SEV) Index: Application to SET50 Index Options

Wiphatthanananthakul, Chatayan; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2009

In 2003, the Chicago Board Options Exchange (CBOE) made two key enhancements to the volatility index (VIX) methodology based on S&P options. The new VIX methodology seems to be based on a complicated formula to calculate expected volatility. In this paper, with the use of Thailand’s SET50...

Persistent link: https://www.econbiz.de/10011272964

Volatility Forecasting Using Support Vector Regression and a Hybrid Genetic Algorithm

Santamaría-Bonfil, Guillermo; Frausto-Solís, Juan; … - In: Computational Economics 45 (2015) 1, pp. 111-133

Volatility forecasting is an important process required to measure variability in equity prices, risk management, and …> </math> </EquationSource> </InlineEquation> for the financial volatility forecasting problem which selects simultaneously the …

Persistent link: https://www.econbiz.de/10011155116

The information content of option-implied information for volatility forecasting with investor sentiment

Seo, Sung Won; Kim, Jun Sik - In: Journal of Banking & Finance 50 (2015) C, pp. 106-120

This study explores the effect of investor sentiment on the volatility forecasting power of option-implied information … periods. Furthermore, the implied volatility has varying volatility forecasting ability depending on the level of investor … sentiment. Our findings suggest that the effectiveness of volatility forecasting models based on option-implied information …

Persistent link: https://www.econbiz.de/10011118101

The information content of option-implied information for volatility forecasting with investor sentiment

Seo, Sung Won; Kim, Jun Sik - In: Journal of banking & finance 50 (2015), pp. 106-120

Persistent link: https://www.econbiz.de/10010509134

Volatility forecasting using support vector regression and a hybrid genetic algorithm

Santamaría-Bonfil, Guillermo; Frausto-Solís, Juan; … - In: Computational economics 45 (2015) 1, pp. 111-133

Persistent link: https://www.econbiz.de/10010511334

Forecasting zero-inflated price changes with a Markov switching mixture model for autoregressive and heteroscedastic time series

Kömm, Holger; Küsters, Ulrich - In: International journal of forecasting 31 (2015) 3, pp. 598-608

Persistent link: https://www.econbiz.de/10011474425

Volatility forecasting : the role of lunch-break returns, overnight returns, trading volume and leverage effects

Wang, Xunxiao; Wu, Chongfeng; Xu, Weidong - In: International journal of forecasting 31 (2015) 3, pp. 609-619

Persistent link: https://www.econbiz.de/10011474428

Forecasting realized volatility with changing average levels

Gallo, Giampiero M.; Otranto, Edoardo - In: International journal of forecasting 31 (2015) 3, pp. 620-634

Persistent link: https://www.econbiz.de/10011474431