Assessing Volatility Forecasting Models: Why GARCH Models Take the Lead
The paper provides a critical assessment of the main forecasting techniques and an evaluation of the superiority of the more advanced and complex models. Ultimately, its scope is to offer support for the rationale behind of an idea: GARCH is the most appropriate model to use when one has to evaluate the volatility of the returns of groups of stocks with large amounts (thousands) of observations. The appropriateness of the model is seen through a unidirectional perspective of the quality of volatility forecast provided by GARCH when compared to any other alternative model, without considering any cost component.
Volume (Year): (2009)
Issue (Month): 4 (December)
|Contact details of provider:|| Postal: Casa Academiei, Calea 13, Septembrie nr.13, sector 5, Bucureşti 761172|
Phone: 004 021 3188148
Fax: 004 021 3188148
Web page: http://www.ipe.ro/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:rjr:romjef:v::y:2009:i:4:p:42-65. 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: (Corina Saman)
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.