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Assessing Volatility Forecasting Models: Why GARCH Models Take the Lead
Citation
Matei, M, Assessing Volatility Forecasting Models: Why GARCH Models Take the Lead, Romanian Journal of Economic Forecasting, 12, (4) pp. 42-65. ISSN 1582-6163 (2009) [Refereed Article]
Copyright Statement
Copyright 2009 Institute for Economic Forecasting
Official URL: http://www.ipe.ro/rjef.htm
Abstract
The paper provides a critical assessment of the main forecasting techniques and an
evaluation of the superiority of the more advanced and complex models. Ultimately, its
scope is to offer support for the rationale behind of an idea: GARCH is the most
appropriate model to use when one has to evaluate the volatility of the returns of
groups of stocks with large amounts (thousands) of observations. The
appropriateness of the model is seen through a unidirectional perspective of the
quality of volatility forecast provided by GARCH when compared to any other
alternative model, without considering any cost component.
Item Details
| Item Type: | Refereed Article |
|---|---|
| Keywords: | volatility, GARCH, forecast, correlation, risk, heteroskedasticity |
| Research Division: | Commerce, Management, Tourism and Services |
| Research Group: | Banking, finance and investment |
| Research Field: | Financial econometrics |
| Objective Division: | Economic Framework |
| Objective Group: | Measurement standards and calibration services |
| Objective Field: | Measurement standards and calibration services not elsewhere classified |
| UTAS Author: | Matei, M (Dr Marius Matei) |
| ID Code: | 99870 |
| Year Published: | 2009 |
| Web of Science® Times Cited: | 8 |
| Deposited By: | Economics and Finance |
| Deposited On: | 2015-04-14 |
| Last Modified: | 2015-05-11 |
| Downloads: | 0 |
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