Forecasting volatility

A. Thavaneswaran, S.S. Appadoo and S. Peiris

Statistics & Probability Letters, 2005, vol. 75, issue 1, 1-10

Abstract: This paper studies the problem of volatility forecasting for some financial time series models. We consider several stochastic volatility models including GARCH, Power GARCH and non-stationary GARCH for illustration. In particular, a martingale representation is used to obtain the l-steps-ahead forecast error variance for the class of GARCH models. Some closed-form expressions for the variance of l-steps-ahead forecasts errors are given in terms of [psi] weights and the kurtosis of the error distribution.

Keywords: Forecasting; GARCH; models; Stochastic; volatility; Innovations; Heteroscedasticity; Random; Conditional; expectation (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (5)

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