VOLATILITY FORECASTS: DO VOLATILITY ESTIMATORS AND EVALUATION METHODS MATTER?

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题名:	VOLATILITY FORECASTS: DO VOLATILITY ESTIMATORS AND EVALUATION METHODS MATTER?
作者:	Jiang, I-Ming Hung, Jui-Cheng Wang, Chuan-San
贡献者:	財金系
关键词:	REALIZED VOLATILITY ECONOMIC VALUE RANGE VARIANCE REGRESSION MODELS
日期:	2014-11
上传时间:	2015-01-20 10:11:51 (UTC+8)
摘要:	This study investigates the volatility forecasting abilities of return-based and range-based estimators for two stock indices and two individual stocks in the U.S. stock market. The forecasting performances are evaluated by two robust statistical loss functions, and further by financial applications in risk management and option pricing. Consistent with previous studies, the range-based volatility forecasts outperform in terms of statistical evaluation, value-at-risk calculation, and option pricing. However, return-based volatility forecasts prove superior in the evaluation of market risk capital requirements. (c) 2013 Wiley Periodicals, Inc.
關聯:	JOURNAL OF FUTURES MARKETS 卷: 34 期: 11 頁碼: 1077-1094
显示于类别:	[財務金融學系 ] 期刊論文

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