Correcting the errors: Volatility forecast evaluation using high-frequency data and realized volatilities

Published

Journal Article (Review)

We develop general model-free adjustment procedures for the calculation of unbiased volatility loss functions based on practically feasible realized volatility benchmarks. The procedures, which exploit recent nonparametric asymptotic distributional results, are both easy-to-implement and highly accurate in empirically realistic situations. We also illustrate that properly accounting for the measurement errors in the volatility forecast evaluations reported in the existing literature can result in markedly higher estimates for the true degree of return volatility predictability.

Full Text

Duke Authors

Cited Authors

  • Andersen, TG; Bollerslev, T; Meddahi, N

Published Date

  • January 1, 2005

Published In

Volume / Issue

  • 73 / 1

Start / End Page

  • 279 - 296

International Standard Serial Number (ISSN)

  • 0012-9682

Digital Object Identifier (DOI)

  • 10.1111/j.1468-0262.2005.00572.x

Citation Source

  • Scopus