Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5054608 | Economic Modelling | 2013 | 4 Pages |
Abstract
Volatility forecasting is an important issue in empirical finance. In this paper, the main purpose is to apply the model averaging techniques to reduce volatility model uncertainty and improve volatility forecasting. Six GARCH-type models are considered as candidate models for model averaging. As to the Chinese stock market, the largest emerging market in the world, the empirical study shows that forecast combination using model averaging can be a better approach than the individual forecasts.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Yong Li, Wei-Ping Huang, Jie Zhang,