Forecasting volatility: double averaging and weighted medians

Erhard Reschenhofer

International Journal of Computational Economics and Econometrics, 2010, vol. 1, issue 3/4, 317-326

Abstract: New methods to forecast volatility are usually compared to simple methods like weighted moving averages or GARCH (1, 1) models. In this paper, we provide new benchmark methods which are more accurate but still very simple. In an empirical study of daily returns on major world indices, our new methods clearly outperformed the conventional methods. The superiority of our methods appears to be quite universal as it is not confined to certain markets or certain time periods.

Keywords: GARCH models; weighted medians; exponentially weighted moving averages; EWMA; averaging across windows; squared forecasting errors; absolute forecasting errors; volatility forecasting. (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.inderscience.com/link.php?id=37941 (text/html)
Access to full text is restricted to subscribers.

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:ids:ijcome:v:1:y:2010:i:3/4:p:317-326

Access Statistics for this article

More articles in International Journal of Computational Economics and Econometrics from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().