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
國別 USA
公開徵稿
出版型式 ,電子版