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http://hdl.handle.net/10016/11395
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| Title: | Predicting the monthly volatility of the EuroStoxx 50 using data sampled at different frequencies |
| Author(s): | Ñíguez, Trino-Manuel |
| Publisher: | Universidad Carlos III de Madrid. Instituto Flores de Lemus |
| Issued date: | 27-Jan-2008 |
| URI: | http://hdl.handle.net/10016/11395 |
| 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. |
| Keywords: | Asymmetry
Frequency
Model ranking
Volatility forecasting |
| JEL Classification: | C22
C52
C53
G32 |
| Appears in Collections: | IFL - Working Papers
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