Article ID Journal Published Year Pages File Type
5060503 Economics Letters 2012 5 Pages PDF
Abstract
► We assess out-of-sample volatility forecasting performance of the Mixed Data Sampling (MIDAS) model. ► The MIDAS model offers statistically better forecasting precision for highly volatile periods. ► This finding is mainly due to MIDAS' ability to exploit fluctuations in higher frequency data. ► The results suggest fruitful implications for stress testing, option pricing, and trading options.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
MIDAS volatility forecast performance under market stress: Evidence from emerging stock markets
Authors
, , ,