Volatility forecasts: a continuous time model versus discrete time models

Helena Veiga

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: This paper compares empirically the forecasting performance of a continuous time stochastic volatility model with two volatility factors (SV2F) to a set of alternative models (GARCH, FIGARCH, HYGARCH, FIEGARCH and Component GARCH). We use two loss functions and two out-of-sample periods in the forecasting evaluation. The two out-of-sample periods are characterized by different patterns of volatility. The volatility is rather low and constant over the first period but shows a significant increase over the second out-of-sample period. The empirical results evidence that the performance of the alternative models depends on the characteristics of the out-ofsample periods and on the forecasting horizons. Contrarily, the SV2F forecasting performance seems to be unaffected by these two facts, since the model provides the most accurate volatility forecasts according to the loss functions we consider.

Date: 2006-04
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-for and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://e-archivo.uc3m.es/rest/api/core/bitstreams ... 6df289a5b4ac/content (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws062509

Access Statistics for this paper

More papers in DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística
Bibliographic data for series maintained by Ana Poveda ().