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Information Content of Volatility Forecasts at Medium-term Horizons

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  • John W. Galbraith
  • Turgut Kisinbay

Abstract

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Suggested Citation

  • John W. Galbraith & Turgut Kisinbay, 2002. "Information Content of Volatility Forecasts at Medium-term Horizons," CIRANO Working Papers 2002s-21, CIRANO.
    • Handle: RePEc:cir:cirwor:2002s-21
    as

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    File URL: https://cirano.qc.ca/files/publications/2002s-21.pdf
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    References listed on IDEAS

    as
    1. Andersen T. G & Bollerslev T. & Diebold F. X & Labys P., 2001. "The Distribution of Realized Exchange Rate Volatility," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 42-55, March.
    2. Nathalie de Marcellis-Warin & Erwann Michel-Kerjan, 2001. "The Public-Private Sector Risk-Sharing in the French Insurance "Cat. Nat. System"""," CIRANO Working Papers 2001s-60, CIRANO.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. repec:lan:wpaper:3046 is not listed on IDEAS
    2. Turgut Kısınbay, 2010. "Predictive ability of asymmetric volatility models at medium-term horizons," Applied Economics, Taylor & Francis Journals, vol. 42(30), pages 3813-3829.
    3. repec:lan:wpaper:3324 is not listed on IDEAS
    4. repec:lan:wpaper:592830 is not listed on IDEAS

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    More about this item

    Keywords

    GARCH; high-frequency data; integrated volatility; realized volatility; GARCH; données à haute fréquence; volatilité intégrée; volatilité réalisée;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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