Forecasting Volatility of Turkish Markets: A Comparison of Thin and Thick Models
AbstractVolatility of financial markets is an important topic for academics, policy makers and market participants. In this study first I summarized several specifications for the conditional variance and also define some methods for combination of these specifications. Then assuming that the squared returns are the benchmark estimate for actual volatility of the day, I compare all of the models with respect to how much efficient they are to mimic the realized volatility. At the same time I used a VaR approach to compare these forecasts. With the help of these analyses I examine if combination of the forecast could outperform the single models.
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Bibliographic InfoPaper provided by EconWPA in its series Econometrics with number 0510007.
Length: 52 pages
Date of creation: 29 Oct 2005
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Note: Type of Document - pdf; pages: 52
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volatility; arch; garch; combination; VaR;
Find related papers by JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-11-05 (All new papers)
- NEP-CFN-2005-11-05 (Corporate Finance)
- NEP-ECM-2005-11-05 (Econometrics)
- NEP-FMK-2005-11-05 (Financial Markets)
- NEP-FOR-2005-11-05 (Forecasting)
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.:
- James H. Stock & Mark W. Watson, 1999.
NBER Working Papers
7023, National Bureau of Economic Research, Inc.
- Diebold, Francis X, 1988. "Serial Correlation and the Combination of Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 6(1), pages 105-11, January.
- Francis X. Diebold & Jose A. Lopez, 1995.
"Forecast evaluation and combination,"
9525, Federal Reserve Bank of New York.
- Francis X. Diebold & Peter Pauly, 1986. "Structural change and the combination of forecasts," Special Studies Papers 201, Board of Governors of the Federal Reserve System (U.S.).
- Kilic, Ekrem, 2006. "Violation duration as a better way of VaR model evaluation : evidence from Turkish market portfolio," MPRA Paper 5610, University Library of Munich, Germany.
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