Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons /
Using realized volatility to estimate conditional variance of financial returns, we compare forecasts of volatility from linear GARCH models with asymmetric ones. We consider horizons extending to 30 days. Forecasts are compared using three different evaluation tests. With data from an equity index...
| Autor principal: | |
|---|---|
| Formato: | Revista |
| Lenguaje: | English |
| Publicado: |
Washington, D.C. :
International Monetary Fund,
2003.
|
| Colección: | IMF Working Papers; Working Paper ;
No. 2003/131 |
| Acceso en línea: | Full text available on IMF |