| Volatility forecasts: do volatility estimators and evaluation methods matter? | |
|---|---|
| 學年 | 103 |
| 學期 | 1 |
| 出版（發表）日期 | 2014-11-01 |
| 作品名稱 | Volatility forecasts: do volatility estimators and evaluation methods matter? |
| 作品名稱（其他語言） | |
| 著者 | I-Ming Jiang; Jui-Cheng Hung; Chuan-San Wang |
| 單位 | |
| 出版者 | |
| 著錄名稱、卷期、頁數 | Journal of Futures Markets, 34(11),Pp. 1077-1094 |
| 摘要 | This study investigates the volatility forecasting abilities of return-based and range-based estimators for two stock indices and two individual stocks in the U.S. stock market. The forecasting performances are evaluated by two robust statistical loss functions, and further by financial applications in risk management and option pricing. Consistent with previous studies, the range-based volatility forecasts outperform in terms of statistical evaluation, value-at-risk calculation, and option pricing. However, return-based volatility forecasts prove superior in the evaluation of market risk capital requirements. |
| 關鍵字 | C52; C53; G17 |
| 語言 | en |
| ISSN | 1096-9934 |
| 期刊性質 | 國外 |
| 收錄於 | SSCI |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 是 |
| 國別 | USA |
| 公開徵稿 | |
| 出版型式 | ,電子版 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/126738 ) |
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