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Volatility forecasts evaluation and comparison

✍ Scribed by Sébastien Laurent; Francesco Violante

Publisher
Wiley (John Wiley & Sons)
Year
2011
Tongue
English
Weight
236 KB
Volume
4
Category
Article
ISSN
0163-1829

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✦ Synopsis

Abstract

This article surveys the most important developments in volatility forecast comparison and model selection. We review a number of evaluation methods and testing procedures for predictive accuracy based on statistical loss functions. We also review recent contributions on the admissible form of loss functions ensuring consistency of the ordering when forecast performances are evaluated with respect to an imperfect volatility proxy. The techniques discussed are illustrated using artificial and EUR/USD exchange rate data. WIREs Comp Stat 2012, 4:1–12. doi: 10.1002/wics.190

This article is categorized under:

Statistical Models > Time Series Models

Data: Types and Structure > Time Series, Stochastic Processes, and Functional Data

Applications of Computational Statistics > Computational Finance

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