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The one-trading-day-ahead forecast errors of intra-day realized volatility

Stavros Degiannakis ()

Research in International Business and Finance, 2017, vol. 42, issue C, 1298-1314

Abstract: Two volatility forecasting evaluation measures are considered; the squared one-day-ahead forecast error and its standardized version. The mean squared forecast error is the widely accepted evaluation function for the realized volatility forecasting accuracy. Additionally, we explore the forecasting accuracy based on the squared distance of the forecast error standardized with its volatility. The statistical properties of the forecast errors point the standardized version as a more appropriate metric for evaluating volatility forecasts.

Keywords: ARFIMA model; HAR model; Intra-day data; Predictive ability; Realized volatility; Ultra-high frequency modelling (search for similar items in EconPapers)
JEL-codes: C14 C32 C50 G11 G15 (search for similar items in EconPapers)
Date: 2017
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Working Paper: The one-trading-day-ahead forecast errors of intra-day realized volatility (2016) Downloads
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