RT Generic
T1 Predicting the monthly volatility of the EuroStoxx 50 using data sampled at different frequencies
A1 Ñíguez, Trino-Manuel
A2 Universidad Carlos III de Madrid. Instituto Flores de Lemus, 
AB 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.
YR 2008
FD 2008-01-27
LK https://hdl.handle.net/10016/11395
UL https://hdl.handle.net/10016/11395
LA eng
DS e-Archivo
RD 17 jul. 2024