MIDAS volatility forecast performance under market stress: Evidence from emerging stock markets

C. Emre Alper, Salih Fendoglu () and Burak Saltoğlu

Economics Letters, 2012, vol. 117, issue 2, 528-532

Abstract: This paper evaluates weekly out-of-sample volatility forecast performance of univariate Mixed Data Sampling (MIDAS) model compared to the benchmark model of GARCH(1,1) for ten emerging stock markets. The results show that the MIDAS model offers a statistically better forecasting precision during the recent financially turbulent era, based on the test suggested by West (2006). For the tranquil period, however, the MIDAS model cannot produce a statistically better weekly volatility forecast.

Keywords: Mixed Data Sampling regression model; Conditional volatility forecasting; Emerging markets (search for similar items in EconPapers)
JEL-codes: C22 C53 G12 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:117:y:2012:i:2:p:528-532

DOI: 10.1016/j.econlet.2012.05.037

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