http://hdl.handle.net/10016/11357 2013-05-24T16:31:41Z http://hdl.handle.net/10016/11395 Title: Predicting the monthly volatility of the EuroStoxx 50 using data sampled at different frequencies Author(s): Ñíguez, Trino-Manuel Abstract: This paper analyses the forecastability of the EuroStoxx 50 monthly returns volatil- ity. We consider different proxies for the unobserved volatility variable by using data sampled at di¤erent frequencies, and GARCH and AGARCH models with Normal and Student s t errors for the dynamics of returns conditional variance. We nd that a method based on aggregation of multi step (daily) ahead GARCH-type forecasts provide quite accurate predictions of monthly volatility. 2008-01-26T23:00:00Z