Forecasting Volatility of Turkish Markets: A Comparison of Thin and Thick Models

Ekrem Kilic ()

Econometrics from EconWPA

Abstract: Volatility of financial markets is an important topic for academics, policy makers and market participants. In this study first I summarized several specifications for the conditional variance and also define some methods for combination of these specifications. Then assuming that the squared returns are the benchmark estimate for actual volatility of the day, I compare all of the models with respect to how much efficient they are to mimic the realized volatility. At the same time I used a VaR approach to compare these forecasts. With the help of these analyses I examine if combination of the forecast could outperform the single models.

Keywords: volatility; arch; garch; combination; VaR (search for similar items in EconPapers)
JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn, nep-cwa, nep-ecm, nep-fmk and nep-for
Date: 2005-10-29
Note: Type of Document - pdf; pages: 52
View list of references View citations in EconPapers

Downloads: (external link)
http://129.3.20.41/eps/em/papers/0510/0510007.pdf (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: http://EconPapers.repec.org/RePEc:wpa:wuwpem:0510007

Access Statistics for this paper

More papers in Econometrics from EconWPA
Series data maintained by EconWPA ().