Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons

Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons
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... READ MORE...

Publication date: June 2003
ISBN 9781451855302
$15.00

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