کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5069626 | 1476987 | 2016 | 7 صفحه PDF | دانلود رایگان |
- This paper analyzes the forecastability of the EuroStoxx 50 index monthly returns.
- Punctual and aggregated monthly forecasts obtained from GARCH models using returns at different frequencies.
- The models performance is measured with respect to alternative proxies for the unobserved volatility.
- Monthly volatility proxies are obtained using mixed data sampling methods using daily frequency.
- Robust results found across proxies support multi-step-ahead GARCH-type forecasts.
This paper analyses the forecastability of stock returns monthly volatility. The forecast obtained from GARCH and AGARCH models with Normal and Student's t errors are evaluated with respect to proxies for the unobserved volatility obtained through sampling at different frequencies. It is found that aggregation of daily multi-step ahead GARCH-type forecasts provide rather accurate predictions of monthly volatility.
Journal: Finance Research Letters - Volume 17, May 2016, Pages 41-47