Answering the skeptics: Yes, standard volatility models do provide accurate forecasts
Journal Article (Journal Article)
A voluminous literature has emerged for modeling the temporal dependencies in financial market volatility using ARCH and stochastic volatility models. While most of these studies have documented highly significant in-sample parameter estimates and pronounced intertemporal volatility persistence, traditional ex-post forecast evaluation criteria suggest that the models provide seemingly poor volatility forecasts. Contrary to this contention, we show that volatility models produce strikingly accurate interdaily forecasts for the latent volatility factor that would be of interest in most financial applications. New methods for improved ex-post interdaily volatility measurements based on high-frequency intradaily data are also discussed.
Full Text
Duke Authors
Cited Authors
- Andersen, TG; Bollerslev, T
Published Date
- January 1, 1998
Published In
Volume / Issue
- 39 / 4
Start / End Page
- 885 - 905
International Standard Serial Number (ISSN)
- 0020-6598
Digital Object Identifier (DOI)
- 10.2307/2527343
Citation Source
- Scopus