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

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

dc.affiliation.instituto	UC3M. Instituto Flores de Lemus	es
dc.contributor.author	Ñíguez, Trino-Manuel
dc.contributor.editor	Universidad Carlos III de Madrid. Instituto Flores de Lemus
dc.date.accessioned	2011-06-07T08:02:59Z
dc.date.available	2011-06-07T08:02:59Z
dc.date.issued	2008-01-27
dc.description.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.
dc.format.mimetype	application/pdf
dc.identifier.uri	https://hdl.handle.net/10016/11395
dc.language.iso	eng
dc.rights	Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRights	open access
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.eciencia	Estadística
dc.subject.jel	C22
dc.subject.jel	C52
dc.subject.jel	C53
dc.subject.jel	G32
dc.subject.other	Asymmetry
dc.subject.other	Frequency
dc.subject.other	Model ranking
dc.subject.other	Volatility forecasting
dc.title	Predicting the monthly volatility of the EuroStoxx 50 using data sampled at different frequencies
dc.type	working paper	*
dc.type.hasVersion	SMUR	*
dspace.entity.type	Publication