Article ID Journal Published Year Pages File Type
5069284 Finance Research Letters 2017 8 Pages PDF
Abstract
We examine the performance of Kalman filter techniques in forecasting volatility. We find that the simple implementation of an online Kalman filtering procedure that combines commonly used forecasting models with market-based estimates improves the accuracy of volatility forecasts. Furthermore, we demonstrate that the Interacting Multiple Model algorithm, which combines multiple Kalman filters, provides the most accurate volatility forecasts overall.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
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