Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
โ Scribed by Torben G. Andersen; Tim Bollerslev; Nour Meddahi
- Book ID
- 111052432
- Publisher
- John Wiley and Sons
- Year
- 2005
- Tongue
- English
- Weight
- 146 KB
- Volume
- 73
- Category
- Article
- ISSN
- 0012-9682
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
## Abstract In the 24โhr foreign exchange market, Andersen and Bollerslev measure and forecast volatility using intraday returns rather than daily returns. Trading in equity markets only occurs during part of the day, and volatility during nontrading hours may differ from the volatility during trad
## ABSTRACT Volatility forecasting remains an active area of research with no current consensus as to the model that provides the most accurate forecasts, though Hansen and Lunde (2005) have argued that in the context of daily exchange rate returns nothing can beat a GARCH(1,1) model. This paper ex