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An evaluation of volatility forecasting techniques


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Cited by:

  1. Jui-Cheng Hung & Ren-Xi Ni & Matthew C. Chang, 2009. "The Information Contents of VIX Index and Range-based Volatility on Volatility Forecasting Performance of S&P 500," Economics Bulletin, AccessEcon, vol. 29(4), pages 2592-2604.
  2. repec:lan:wpaper:3046 is not listed on IDEAS
  3. Wang, Yudong & Wu, Chongfeng, 2012. "Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models?," Energy Economics, Elsevier, vol. 34(6), pages 2167-2181.
  4. Liu, Hung-Chun & Chiang, Shu-Mei & Cheng, Nick Ying-Pin, 2012. "Forecasting the volatility of S&P depositary receipts using GARCH-type models under intraday range-based and return-based proxy measures," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 78-91.
  5. Taylor, Nicholas, 2004. "Trading intensity, volatility, and arbitrage activity," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1137-1162, May.
  6. Athanasia Gavala & Nikolay Gospodinov & Deming Jiang, 2006. "Forecasting volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(6), pages 381-400.
  7. Lux, Thomas & Kaizoji, Taisei, 2007. "Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1808-1843, June.
  8. Hartwell, Christopher A., 2014. "The impact of institutional volatility on financial volatility in transition economies : a GARCH family approach," BOFIT Discussion Papers 6/2014, Bank of Finland, Institute for Economies in Transition.
  9. Taufiq Choudhry & Hao Wu, 2008. "Forecasting ability of GARCH vs Kalman filter method: evidence from daily UK time-varying beta," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(8), pages 670-689.
  10. Manh Ha Nguyen & Olivier Darné, 2018. "Forecasting and risk management in the Vietnam Stock Exchange," Working Papers halshs-01679456, HAL.
  11. Gabriela De Raaij & Burkhard Raunig, 2005. "Evaluating density forecasts from models of stock market returns," The European Journal of Finance, Taylor & Francis Journals, vol. 11(2), pages 151-166.
  12. Dima Alberg & Haim Shalit & Rami Yosef, 2008. "Estimating stock market volatility using asymmetric GARCH models," Applied Financial Economics, Taylor & Francis Journals, vol. 18(15), pages 1201-1208.
  13. DAVID G. McMILLAN & ALAN E. H. SPEIGHT, 2007. "Value-at-Risk in Emerging Equity Markets: Comparative Evidence for Symmetric, Asymmetric, and Long-Memory GARCH Models," International Review of Finance, International Review of Finance Ltd., vol. 7(1-2), pages 1-19.
  14. Chuang, Wen-I & Huang, Teng-Ching & Lin, Bing-Huei, 2013. "Predicting volatility using the Markov-switching multifractal model: Evidence from S&P 100 index and equity options," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 168-187.
  15. Conrad, Christian & Karanasos, Menelaos & Zeng, Ning, 2011. "Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 147-159, January.
  16. Raunig, Burkhard, 2006. "The longer-horizon predictability of German stock market volatility," International Journal of Forecasting, Elsevier, vol. 22(2), pages 363-372.
  17. Covarrubias, Guillermo & Ewing, Bradley T. & Hein, Scott E. & Thompson, Mark A., 2006. "Modeling volatility changes in the 10-year Treasury," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 369(2), pages 737-744.
  18. Twm Evans & David McMillan, 2007. "Volatility forecasts: the role of asymmetric and long-memory dynamics and regional evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 17(17), pages 1421-1430.
  19. Hassan Tanha & Michael Dempsey, 2016. "The Information Content of ASX SPI 200 Implied Volatility," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-14, March.
  20. Nomikos, Nikos K. & Pouliasis, Panos K., 2011. "Forecasting petroleum futures markets volatility: The role of regimes and market conditions," Energy Economics, Elsevier, vol. 33(2), pages 321-337, March.
  21. Ser-Huang Poon & Clive W.J. Granger, 2003. "Forecasting Volatility in Financial Markets: A Review," Journal of Economic Literature, American Economic Association, vol. 41(2), pages 478-539, June.
  22. Stephen L. Lee & Simon Stevenson, 2001. "Time Weighted Portfolio Optimisation," ERES eres2001_207, European Real Estate Society (ERES).
  23. Sadorsky, Perry, 2006. "Modeling and forecasting petroleum futures volatility," Energy Economics, Elsevier, vol. 28(4), pages 467-488, July.
  24. Mircea ASANDULUI, 2012. "On forecasting stock options volatility: evidence from London international financial futures and options exchange," Anale. Seria Stiinte Economice. Timisoara, Faculty of Economics, Tibiscus University in Timisoara, vol. 0, pages 505-511, May.
  25. Heitham Al-Hajieh & Hashem AlNemer & Timothy Rodgers & Jacek Niklewski, 2015. "Forecasting the Jordanian stock index: modelling asymmetric volatility and distribution effects within a GARCH framework," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 4(2), pages 9-26.
  26. Torben G. Andersen & Tim Bollerslev, 1997. "Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts," NBER Working Papers 6023, National Bureau of Economic Research, Inc.
  27. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521770415.
  28. Brooks, Robert D. & Davidson, Sinclair & Faff, Robert W., 1997. "An examination of the effects of major political change on stock market volatility: the South African experience," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(3), pages 255-275, October.
  29. Carol Alexander, 2000. "Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices," ICMA Centre Discussion Papers in Finance icma-dp2000-06, Henley Business School, Reading University.
  30. Kovačić, Zlatko, 2007. "Forecasting volatility: Evidence from the Macedonian stock exchange," MPRA Paper 5319, University Library of Munich, Germany.
  31. Awartani, Basel M.A. & Corradi, Valentina, 2005. "Predicting the volatility of the S&P-500 stock index via GARCH models: the role of asymmetries," International Journal of Forecasting, Elsevier, vol. 21(1), pages 167-183.
  32. repec:nax:conyad:v:62:y:2017:i:4:p:1081-1099 is not listed on IDEAS
  33. Sang Hoon Kang & Seong-Min Yoon, 2010. "Sudden Changes and Persistence in Volatility of Korean Equity Sector Returns," Korean Economic Review, Korean Economic Association, vol. 26, pages 431-451.
  34. Baruník, Jozef & Malinská, Barbora, 2016. "Forecasting the term structure of crude oil futures prices with neural networks," Applied Energy, Elsevier, vol. 164(C), pages 366-379.
  35. Liu, Jing & Wei, Yu & Ma, Feng & Wahab, M.I.M., 2017. "Forecasting the realized range-based volatility using dynamic model averaging approach," Economic Modelling, Elsevier, vol. 61(C), pages 12-26.
  36. repec:lan:wpaper:3324 is not listed on IDEAS
  37. Kui-Wai Li, 2012. "A study on the volatility forecast of the US housing market in the 2008 crisis," Applied Financial Economics, Taylor & Francis Journals, vol. 22(22), pages 1869-1880, November.
  38. Matei, Marius, 2010. "Risk analysis in the evaluation of the international investment opportunities. Advances in modelling and forecasting volatility for risk assessment purposes," Working Papers of Institute for Economic Forecasting 100201, Institute for Economic Forecasting.
  39. Kambouroudis, Dimos S. & McMillan, David G., 2015. "Is there an ideal in-sample length for forecasting volatility?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 37(C), pages 114-137.
  40. G.R. Pasha & Tahira Qasim & Muhammad Aslam, 2007. "Estimating and Forecasting Volatility of Financial Time Series in Pakistan with GARCH-type Models," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 12(2), pages 115-149, Jul-Dec.
  41. Nomikos, Nikos K. & Kyriakou, Ioannis & Papapostolou, Nikos C. & Pouliasis, Panos K., 2013. "Freight options: Price modelling and empirical analysis," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 51(C), pages 82-94.
  42. repec:lan:wpaper:592830 is not listed on IDEAS
  43. Асатуров К.Г. & Теплова Т.В., 2014. "Построение Коэффициентов Хеджирования Для Высоколиквидных Акций Российского Рынка На Основе Моделей Класса Garch," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 50(1), pages 37-54, январь.
  44. Fagiani, Riccardo & Hakvoort, Rudi, 2014. "The role of regulatory uncertainty in certificate markets: A case study of the Swedish/Norwegian market," Energy Policy, Elsevier, vol. 65(C), pages 608-618.
  45. Burkhard Raunig, 2003. "Testing for Longer Horizon Predictability of Return Volatility with an Application to the German," Working Papers 86, Oesterreichische Nationalbank (Austrian Central Bank).
  46. Rossi, E. & Spazzini, F., 2010. "Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2786-2800, November.
  47. Bentes, Sonia R., 2015. "Forecasting volatility in gold returns under the GARCH, IGARCH and FIGARCH frameworks: New evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 438(C), pages 355-364.
  48. Blair, Bevan J. & Poon, Ser-Huang & Taylor, Stephen J., 2001. "Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns," Journal of Econometrics, Elsevier, vol. 105(1), pages 5-26, November.
  49. repec:spt:apfiba:v:7:y:2017:i:4:f:7_4_3 is not listed on IDEAS
  50. Maghyereh, Aktham I. & Awartani, Basel & Bouri, Elie, 2016. "The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes," Energy Economics, Elsevier, vol. 57(C), pages 78-93.
  51. Mensi, Walid & Hammoudeh, Shawkat & Yoon, Seong-Min, 2014. "Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters: The importance of scheduled and unscheduled news announcements," International Review of Economics & Finance, Elsevier, vol. 30(C), pages 101-119.
  52. Bali, Turan G. & Weinbaum, David, 2007. "A conditional extreme value volatility estimator based on high-frequency returns," Journal of Economic Dynamics and Control, Elsevier, vol. 31(2), pages 361-397, February.
  53. LeBaron, Blake, 2003. "Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [," International Journal of Forecasting, Elsevier, vol. 19(4), pages 751-752.
  54. Linlan Xiao, 2013. "Realized volatility forecasting: empirical evidence from stock market indices and exchange rates," Applied Financial Economics, Taylor & Francis Journals, vol. 23(1), pages 57-69, January.
  55. Vasiliki D. Skintzi & Spyros Xanthopoulos-Sisinis, 2007. "Evaluation of correlation forecasting models for risk management," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(7), pages 497-526.
  56. repec:bla:acctfi:v:57:y:2017:i:3:p:837-853 is not listed on IDEAS
  57. Trino-Manuel Ñíguez, 2008. "Volatility and VaR forecasting in the Madrid Stock Exchange," Spanish Economic Review, Springer;Spanish Economic Association, vol. 10(3), pages 169-196, September.
  58. Balaban, Ercan, 2004. "Comparative forecasting performance of symmetric and asymmetric conditional volatility models of an exchange rate," Economics Letters, Elsevier, vol. 83(1), pages 99-105, April.
  59. Leandro Maciel, 2012. "A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting," Brazilian Review of Finance, Brazilian Society of Finance, vol. 10(3), pages 337-367.
  60. repec:bpj:jossai:v:5:y:2017:i:3:p:193-215:n:1 is not listed on IDEAS
  61. Asgharian, Hossein & Sikström, Sverker, 2013. "Predicting Stock Price Volatility by Analyzing Semantic Content in Media," Knut Wicksell Working Paper Series 2013/16, Lund University, Knut Wicksell Centre for Financial Studies.
  62. Mircea ASANDULUI, 2012. "A Multi-Horizon Comparison Of Volatility Forecasts: An Application To Stock Options Traded At Euronext Exchange Amsterdam," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 10, pages 179-190, December.
  63. Shiyi Chen & Wolfgang K. Härdle & Kiho Jeong, 2010. "Forecasting volatility with support vector machine-based GARCH model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(4), pages 406-433.
  64. Ewing, Bradley T. & Thompson, Mark A., 2008. "Industrial production, volatility, and the supply chain," International Journal of Production Economics, Elsevier, vol. 115(2), pages 553-558, October.
  65. Byun, Sung Je, 2016. "The usefulness of cross-sectional dispersion for forecasting aggregate stock price volatility," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 162-180.
  66. Bley, Jorg, 2011. "Are GCC stock markets predictable?," Emerging Markets Review, Elsevier, vol. 12(3), pages 217-237, September.
  67. Stéphane Yen & Ming-Hsiang Chen, 2010. "Open interest, volume, and volatility: evidence from Taiwan futures markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 34(2), pages 113-141, April.
  68. Lange, Stephen, 1999. "Modeling asset market volatility in a small market:: Accounting for non-synchronous trading effects," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(1), pages 1-18, January.
  69. Nigel Meade & Gerry Salkin, 2000. "The selection of multinational equity portfolios: forecasting models and estimation risk," The European Journal of Finance, Taylor & Francis Journals, vol. 6(3), pages 259-279.
  70. Ulu, Yasemin, 2007. "Optimal prediction under LINLIN loss: Empirical evidence," International Journal of Forecasting, Elsevier, vol. 23(4), pages 707-715.
  71. Ezzat, Hassan, 2012. "The Application of GARCH and EGARCH in Modeling the Volatility of Daily Stock Returns During Massive Shocks: The Empirical Case of Egypt," MPRA Paper 50530, University Library of Munich, Germany.
  72. Cabedo Semper, J. David & Moya Clemente, Ismael, 2003. "Value at risk calculation through ARCH factor methodology: Proposal and comparative analysis," European Journal of Operational Research, Elsevier, vol. 150(3), pages 516-528, November.
  73. Missiakoulis, Spyros & Vasiliou, Dimitrios & Eriotis, Nikolaos, 2012. "Forecasting Performance with the Harmonic Mean: Long-Term Investment Horizons in Shanghai Stock Exchange," Review of Applied Economics, Review of Applied Economics, vol. 8(1).
  74. Farhat Iqbal, 2013. "Robust estimation of the simplified multivariate GARCH model," Empirical Economics, Springer, vol. 44(3), pages 1353-1372, June.
  75. Afees A. Salisu & Ismail O. Fasanya, 2012. "Comparative Performance of Volatility Models for Oil Price," International Journal of Energy Economics and Policy, Econjournals, vol. 2(3), pages 167-183.
  76. Gita Persand & Chris Brooks, 2003. "Volatility forecasting for risk management," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(1), pages 1-22.
  77. Yew-Choe Lum & Sardar M. N. Islam, 2016. "Time Varying Behavior of Share Returns in Australia: 1988–2004," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-14, March.
  78. Shiyi Chen & Kiho Jeong & Wolfgang Härdle, 2008. "Support Vector Regression Based GARCH Model with Application to Forecasting Volatility of Financial Returns," SFB 649 Discussion Papers SFB649DP2008-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  79. Le, Van & Zurbruegg, Ralf, 2010. "The role of trading volume in volatility forecasting," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(5), pages 533-555, December.
  80. Evangelos Drimbetas & Nikolaos Sariannidis & Nicos Porfiris, 2007. "The effect of derivatives trading on volatility of the underlying asset: evidence from the Greek stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 17(2), pages 139-148.
  81. Pariyada Sukcharoensin, 2013. "Time-Varying Market, Interest Rate and Exchange Rate Risks of Thai Commercial Banks," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 9(1), pages 25-45.
  82. Guidi, Francesco, 2010. "Modelling and forecasting volatility of East Asian Newly Industrialized Countries and Japan stock markets with non-linear models," MPRA Paper 19851, University Library of Munich, Germany.
  83. Chiang, Min-Hsien & Huang, Hsin-Yi, 2011. "Stock market momentum, business conditions, and GARCH option pricing models," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 488-505, June.
  84. repec:onb:oenbwp:y::i:86:b:1 is not listed on IDEAS
  85. McMillan, David G. & Kambouroudis, Dimos, 2009. "Are RiskMetrics forecasts good enough? Evidence from 31 stock markets," International Review of Financial Analysis, Elsevier, vol. 18(3), pages 117-124, June.
  86. Eskandar A. Tooma, 2003. "Modeling and Forecasting Egyptian Stock Market Volatility Before and After Price Limits," Working Papers 0310, Economic Research Forum, revised 04 Mar 2003.
  87. Yu, Wayne W. & Lui, Evans C.K. & Wang, Jacqueline W., 2010. "The predictive power of the implied volatility of options traded OTC and on exchanges," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 1-11, January.
  88. Taylor, Nicholas, 2008. "Can idiosyncratic volatility help forecast stock market volatility?," International Journal of Forecasting, Elsevier, vol. 24(3), pages 462-479.
  89. Robert Ślepaczuk & Grzegorz Zakrzewski, 2009. "High-Frequency and Model-Free Volatility Estimators," Working Papers 2009-13, Faculty of Economic Sciences, University of Warsaw.
  90. Walsh, David M. & Walsh, Kathleen D. & Evans, John P., 1998. "Assessing estimation error in a tracking error variance minimisation framework," Pacific-Basin Finance Journal, Elsevier, vol. 6(1-2), pages 175-192, May.
  91. Balaban, Ercan & Lu, Shan, 2016. "Forecasting the term structure of volatility of crude oil price changes," Economics Letters, Elsevier, vol. 141(C), pages 116-118.
  92. Sharma, Prateek & Vipul,, 2016. "Forecasting stock market volatility using Realized GARCH model: International evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 222-230.
  93. repec:nax:conyad:v:62:y:2017:i:4:p:1063-1080 is not listed on IDEAS
  94. Chris Brooks & Simon Burke, 2003. "Information criteria for GARCH model selection," The European Journal of Finance, Taylor & Francis Journals, vol. 9(6), pages 557-580.
  95. Suardi, Sandy, 2008. "Are levels effects important in out-of-sample performance of short rate models?," Economics Letters, Elsevier, vol. 99(1), pages 181-184, April.
  96. Trino-Manuel Ñíguez, 2003. "Volatility And Var Forecasting For The Ibex-35 Stock-Return Index Using Figarch-Type Processes And Different Evaluation Criteria," Working Papers. Serie AD 2003-33, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  97. Elyasiani, Elyas & Mansur, Iqbal, 2017. "Hedge fund return, volatility asymmetry, and systemic effects: A higher-moment factor-EGARCH model," Journal of Financial Stability, Elsevier, vol. 28(C), pages 49-65.
  98. Pedro Correia S. Bezerra & Pedro Henrique M. Albuquerque, 2017. "Volatility forecasting via SVR–GARCH with mixture of Gaussian kernels," Computational Management Science, Springer, vol. 14(2), pages 179-196, April.
  99. Prateek Sharma & Vipul _, 2015. "Forecasting stock index volatility with GARCH models: international evidence," Studies in Economics and Finance, Emerald Group Publishing, vol. 32(4), pages 445-463, October.
  100. Brooks, C. & Clare, A. D. & Persand, G., 2000. "A word of caution on calculating market-based minimum capital risk requirements," Journal of Banking & Finance, Elsevier, vol. 24(10), pages 1557-1574, October.
  101. Hans Bystrom, 2004. "Orthogonal GARCH and covariance matrix forecasting: The Nordic stock markets during the Asian financial crisis 1997-1998," The European Journal of Finance, Taylor & Francis Journals, vol. 10(1), pages 44-67.
  102. Pandey, Ajay, 2003. "Modeling and Forecasting Volatility in Indian Capital Markets," IIMA Working Papers WP2003-08-03, Indian Institute of Management Ahmedabad, Research and Publication Department.
  103. Faten Ben Slimane, 2012. "Stock exchange consolidation and return volatility," Managerial Finance, Emerald Group Publishing, vol. 38(6), pages 606-627, May.
  104. Klein, Tony & Walther, Thomas, 2016. "Oil price volatility forecast with mixture memory GARCH," Energy Economics, Elsevier, vol. 58(C), pages 46-58.
  105. Green, Christopher J. & Maggioni, Paolo & Murinde, Victor, 2000. "Regulatory lessons for emerging stock markets from a century of evidence on transactions costs and share price volatility in the London Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 24(4), pages 577-601, April.
  106. Li, Yong & Huang, Wei-Ping & Zhang, Jie, 2013. "Forecasting volatility in the Chinese stock market under model uncertainty," Economic Modelling, Elsevier, vol. 35(C), pages 231-234.
  107. Pilar Corredor & Rafael Santamaria, 2004. "Forecasting volatility in the Spanish option market," Applied Financial Economics, Taylor & Francis Journals, vol. 14(1), pages 1-11.
  108. Alan E. H. Speight & David G. McMillan, 2004. "Daily volatility forecasts: reassessing the performance of GARCH models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(6), pages 449-460.
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