Ñíguez, Trino-ManuelUniversidad Carlos III de Madrid. Instituto Flores de Lemus2011-06-072011-06-072008-01-27https://hdl.handle.net/10016/11395This 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.application/pdfengAtribución-NoComercial-SinDerivadas 3.0 EspañaAsymmetryFrequencyModel rankingVolatility forecastingworking paperC22C52C53G32Estadísticaopen access