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Practical issues in forecasting volatility

delete2019-01-02
delete152
PRE
AI
S
Ser‐Huang Poon
C
Clive W. J. Granger
DOI：10.2469/faj.v61.n1.2683delete
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Abstract

Abstract

En 中文
A comparison is presented of 93 studies that conducted tests of volatility-forecasting methods on a wide range of financial asset returns. The survey found that option-implied volatility provides more accurate forecasts than time-series models. Among the time-series models, no model is a clear winner, although a possible ranking is as follows: historical volatility, generalized autoregressive conditional heteroscedasticity, and stochastic volatility. The survey produced some practical suggestions for volatility forecasting.
Keywords:
STOCK-MARKET VOLATILITY
MODELS
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Key information extracted from the uploaded paper, including a brief overview, abstract, background, key highlights, visual analysis, and future outlook.

Journal

F
Financial Analysts Journal
IF:
2.2
Papers:
1.2K
Citations:
3.1K

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No organization information available