Hidden Bibliographic Details
| Other authors / contributors: | International Monetary Fund. Monetary and Financial Systems Department.
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| ISBN: | 1451900570
9781451900576
1462336787
9781462336784
1452712883
9781452712888
1282107305
9781282107304
9786613800657
6613800651
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| Notes: | Includes bibliographical references (pages 36-38).
Restrictions unspecified
Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010.
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212
English.
digitized 2010 HathiTrust Digital Library committed to preserve
Print version record.
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| 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.
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| Other form: | Print version: Kışınbay, Turgut. Predictive ability of asymmetric volatility models at medium-term horizons. Washington, D.C : International Monetary Fund, ©2003
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| Standard no.: | 10.5089/9781451900576.001
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