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Handbook of Economic Forecasting

Volatility and Correlation Forecasting

Publication ,  Chapter
Andersen, TG; Bollerslev, T; Christoffersen, PF; Diebold, FX
May 2006

Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then discusses a series of different economic situations in which volatility plays a crucial role, ranging from the use of volatility forecasts in portfolio allocation to density forecasting in risk management. Sections 3-5 present a variety of alternative procedures for univariate volatility modeling and forecasting based on the GARCH, stochastic volatility and realized volatility paradigms, respectively. Section 6 extends the discussion to the multivariate problem of forecasting conditional covariances and correlations, and Section 7 discusses volatility forecast evaluation methods in both univariate and multivariate cases. Section 8 concludes briefly.

Duke Scholars

ISBN

0-444-51395-7

Publication Date

May 2006

Volume

1

Start / End Page

777 / 878
 

Citation

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Chicago
ICMJE
MLA
NLM
Andersen, T. G., Bollerslev, T., Christoffersen, P. F., & Diebold, F. X. (2006). Volatility and Correlation Forecasting. In G. Elliott, C. Granger, & A. Timmermann (Eds.), Handbook of Economic Forecasting (Vol. 1, pp. 777–878).
Andersen, Torben G., Tim Bollerslev, Peter F. Christoffersen, and Francis X. Diebold. “Volatility and Correlation Forecasting.” In Handbook of Economic Forecasting, edited by G. Elliott, C. Granger, and A. Timmermann, 1:777–878, 2006.
Andersen TG, Bollerslev T, Christoffersen PF, Diebold FX. Volatility and Correlation Forecasting. In: Elliott G, Granger C, Timmermann A, editors. Handbook of Economic Forecasting. 2006. p. 777–878.
Andersen, Torben G., et al. “Volatility and Correlation Forecasting.” Handbook of Economic Forecasting, edited by G. Elliott et al., vol. 1, 2006, pp. 777–878.
Andersen TG, Bollerslev T, Christoffersen PF, Diebold FX. Volatility and Correlation Forecasting. In: Elliott G, Granger C, Timmermann A, editors. Handbook of Economic Forecasting. 2006. p. 777–878.
Journal cover image

ISBN

0-444-51395-7

Publication Date

May 2006

Volume

1

Start / End Page

777 / 878