Forecasting volatility in the presence of Leverage Effect
AbstractWe define a simple and tractable method for adding the Leverage effect in general volatility predictions. As an application, we compare volatility predictions with and without Leverage on the SP500 Index during the period 2002-2010.
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Date of creation: 13 Jul 2010
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-07-24 (All new papers)
- NEP-ECM-2010-07-24 (Econometrics)
- NEP-FOR-2010-07-24 (Forecasting)
- NEP-RMG-2010-07-24 (Risk Management)
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