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Predicting the monthly volatility of the EuroStoxx 50 using data sampled at different frequencies

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URI: https://hdl.handle.net/10016/11395
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predicting_niguez_IFL_WP.pdf (387.37 KB)
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2008-01-27
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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.
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Asymmetry, Frequency, Model ranking, Volatility forecasting
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IFL - Working Papers