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Forecasting Volatility of Turkish Markets: A Comparison of Thin and Thick Models

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Author Info

  • Ekrem Kilic

    (Marmara University)

Abstract

Volatility 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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File URL: http://128.118.178.162/eps/em/papers/0510/0510007.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Econometrics with number 0510007.

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Length: 52 pages
Date of creation: 29 Oct 2005
Date of revision:
Handle: RePEc:wpa:wuwpem:0510007

Note: Type of Document - pdf; pages: 52
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Web page: http://128.118.178.162

Related research

Keywords: volatility; arch; garch; combination; VaR;

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References

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  1. James H. Stock & Mark W. Watson, 1999. "Forecasting Inflation," NBER Working Papers 7023, National Bureau of Economic Research, Inc.
  2. 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.
  3. Francis X. Diebold & Jose A. Lopez, 1995. "Forecast evaluation and combination," Research Paper 9525, Federal Reserve Bank of New York.
  4. 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.).
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Cited by:
  1. 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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