Advanced Search
MyIDEAS: Login to save this article or follow this journal

Improving the Forecasting Power of Volatility Models

Contents:

Author Info

  • Ahmed Bensaida

    ()
    (University of Monastir Sidi Massaoud)

Abstract

Volatility models have been extensively used in risk modeling especially GARCH models under the normal distribution. Although they generate highly significant coefficient estimates, these models are known to have poor forecasting power. It is therefore interesting to develop a different approach of risk modeling to improve forecasting results. By using the generalized t-distribution in modeling the changes in the distribution of stock index returns, the results show a significant improvement in the forecasting power. Moreover, Monte Carlo simulations have confirmed that the index returns are better explained by ARCH-type models.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.hrmars.com/admin/pics/958.pdf
Download Restriction: no

File URL: http://www.hrmars.com/admin/pics/958.pdf
Download Restriction: no

Bibliographic Info

Article provided by Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences in its journal International Journal of Academic Research in Accounting, Finance and Management Sciences.

Volume (Year): 2 (2012)
Issue (Month): 3 (July)
Pages: 51-64

as in new window
Handle: RePEc:hur:ijaraf:v:2:y:2012:i:3:p:51-64

Contact details of provider:
Web page: http://hrmars.com/index.php/pages/detail/Accounting-Finance-Journal

Related research

Keywords: Generalized t; GARCH; forecast; index return;

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-47, August.
  2. Pagan, A.R. & Schwert, G.W., 1989. "Alternative Models For Conditional Stock Volatility," Papers 89-02, Rochester, Business - General.
  3. Venus Khim-Sen Liew & Terence Tai-leung Chong, 2005. "Autoregressive Lag Length Selection Criteria in the Presence of ARCH Errors," Economics Bulletin, AccessEcon, vol. 3(19), pages 1-5.
  4. George Marsaglia & Wai Wan Tsang, . "The Ziggurat Method for Generating Random Variables," Journal of Statistical Software, American Statistical Association, vol. 5(i08).
  5. Andersen, Torben G & Bollerslev, Tim, 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 885-905, November.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:hur:ijaraf:v:2:y:2012:i:3:p:51-64. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Hassan Danial Aslam).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.