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Volatility forecasts: a continuous time model versus discrete time models

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorVeiga, Helena
dc.date.accessioned2006-11-09T10:59:40Z
dc.date.available2006-11-09T10:59:40Z
dc.date.issued2006-04
dc.description.abstractThis paper compares empirically the forecasting performance of a continuous time stochastic volatility model with two volatility factors (SV2F) to a set of alternative models (GARCH, FIGARCH, HYGARCH, FIEGARCH and Component GARCH). We use two loss functions and two out-of-sample periods in the forecasting evaluation. The two out-of-sample periods are characterized by different patterns of volatility. The volatility is rather low and constant over the first period but shows a significant increase over the second out-of-sample period. The empirical results evidence that the performance of the alternative models depends on the characteristics of the out-ofsample periods and on the forecasting horizons. Contrarily, the SV2F forecasting performance seems to be unaffected by these two facts, since the model provides the most accurate volatility forecasts according to the loss functions we consider.
dc.format.extent425093 bytes
dc.format.mimetypeapplication/pdf
dc.identifier.repecws062509
dc.identifier.urihttps://hdl.handle.net/10016/240
dc.language.isoeng
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working Papers. Statistics and Econometrics
dc.relation.ispartofseries2006-09
dc.rights.accessRightsopen access
dc.subject.ecienciaEstadística
dc.titleVolatility forecasts: a continuous time model versus discrete time models
dc.typeworking paper*
dspace.entity.typePublication
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