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Cover Art
E-RESOURCE
Author Kisinbay, Turgut.

Title Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons [electronic resource] / Turgut Kisinbay.

Published Washington, D.C. : International Monetary Fund, 2003.

Copies

Location Call No. Status
 UniM INTERNET resource    AVAILABLE
Physical description 1 online resource (38 p.)
Series IMF Working Papers; Working Paper ; No. 03/131
IMF Working Papers; Working Paper ; No. 03/131
Summary Using realized volatility to estimate conditional variance of financial returns, we compare forecasts of volatility from linear GARCH models with asymmetric ones. We consider horizons extending to 30 days. Forecasts are compared using three different evaluation tests. With data from an equity index and two foreign exchange returns, we show that asymmetric models provide statistically significant forecast improvements upon the GARCH model for two of the datasets and improve forecasts for all datasets by means of forecasts combinations. These results extend to about 10 days in the future, beyond which the forecasts are statistically inseparable from each other.
Notes Description based on print version record.
Other author Kisinbay, Turgut.
Subject Forecasting and Other Model Applications
Forecasting
Garch
High-Frequency Data
Integrated Volatility
Maximum Likelihood Estimation
ISBN 1451855303 : 15.00 USD
9781451855302
ISSN 1018-5941
Standard Number 10.5089/9781451855302.001