Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
963344 | Journal of International Financial Markets, Institutions and Money | 2015 | 24 Pages |
Abstract
There is limited research carried out to date in the academic literature addressing the issue of the ideal in-sample size when forecasting volatility. This paper therefore considers how much data is required in order to produce accurate forecasts. Broadly speaking, two views exist between practitioners/investors who typically prefer a small in-sample to minimise data holding requirements and researchers/academics who typically chose large in-sample periods. Using a process of expanding window regressions where the in-sample start period expands (backward recursion) we conduct forecasts over twenty-three international markets, including both developed and emerging. Our findings, which demonstrate a degree of homogeneity, show that for the majority of the markets large in-sample periods are not necessary in order to produce the most accurate forecasts supporting the practitioners'/investors' view.
Related Topics
Social Sciences and Humanities
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Economics and Econometrics
Authors
Dimos S. Kambouroudis, David G. McMillan,