Advanced Search
MyIDEAS: Login

Optimal sampling frequency for volatility forecast models for the Indian stock markets

Contents:

Author Info

  • Malay Bhattacharyya

    (Indian Institute of Management Bangalore, India)

  • Dileep Kumar M

    (Indian Institute of Management Bangalore, India)

  • Ramesh Kumar

    (Indian Institute of Management Bangalore, India)

Abstract

This paper evaluates the performance of conditional variance models using high-frequency data of the National Stock Index (S&P CNX NIFTY) and attempts to determine the optimal sampling frequency for the best daily volatility forecast. A linear combination of the realized volatilities calculated at two different frequencies is used as benchmark to evaluate the volatility forecasting ability of the conditional variance models (GARCH (1, 1)) at different sampling frequencies. From the analysis, it is found that sampling at 30 minutes gives the best forecast for daily volatility. The forecasting ability of these models is deteriorated, however, by the non-normal property of mean adjusted returns, which is an assumption in conditional variance models. Nevertheless, the optimum frequency remained the same even in the case of different models (EGARCH and PARCH) and different error distribution (generalized error distribution, GED) where the error is reduced to a certain extent by incorporating the asymmetric effect on volatility. Our analysis also suggests that GARCH models with GED innovations or EGRACH and PARCH models would give better estimates of volatility with lower forecast error estimates. Copyright © 2008 John Wiley & Sons, Ltd.

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://hdl.handle.net/10.1002/for.1080
File Function: Link to full text; subscription required
Download Restriction: no

Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 28 (2009)
Issue (Month): 1 ()
Pages: 38-54

as in new window
Handle: RePEc:jof:jforec:v:28:y:2009:i:1:p:38-54

Contact details of provider:
Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

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:jof:jforec:v:28:y:2009:i:1:p:38-54. 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: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

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.