Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons

June 1, 2003

Preview Citation

Format: Chicago

Turgut Kisinbay. Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons, (USA: International Monetary Fund, 2003) accessed December 26, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

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.

Subject: Asset prices, Economic forecasting, Financial institutions, Financial markets, Foreign exchange, Prices, Stock markets, Stocks

Keywords: And asymmetric volatility, APARCH model, Asset prices, Benchmark model, EGARCH model, GARCH, GARCH model, High frequency, High-frequency data, Integrated volatility, JPY dataset, Null hypothesis, Realized volatility, Standard deviation, Stock markets, Stocks, TARCH model, Volatility model, WP

Publication Details

Pages:

38
Volume:

---
DOI:

---
Issue:

---
Series:

Working Paper No. 2003/131
Stock No:

WPIEA1312003
ISBN:

9781451855302
ISSN:

1018-5941

FACTSHEETS

RESOURCES

TOPICS

Flagship Publications

Other Publications

IMF reports and publications by country

Regional Offices

All News

See Also

For Journalists

Press Center

RESOURCES

FLAGSHIPS

KEY SERIES

IMF NOTES

IMF Working Papers