Extreme Value Volatility Estimators and Realized Volatility of Istanbul Stock Exchange: Evidence from Emerging Market

Hakki Ozturk, Umit Erol and Asli Yuksel

International Journal of Economics and Finance, 2016, vol. 8, issue 8, 71

Abstract: This paper evaluates the forecasting performance of alternative models for the one-day ahead forecasts of BIST-30 index (Istanbul Stock Exchange- Borsa Istanbul major index that contains 30 blue-chip stocks) volatility. Realized volatility is used as the relevant benchmark for the evaluation of forecasts. We document evidence, which shows that realized volatility is a less noisy estimator than the daily square benchmark explaining more of the variation in the volatility. In addition; the benefit of using extreme value estimators as volatility proxies are discussed. It is empirically demonstrated that the extreme value estimators are 5 to 8 times more efficient than historical volatility measures. The use of extreme value estimators with simple forecasting models provide better short-term forecasts than the GARCH based volatility forecasts due to higher efficiency of extreme value estimators.

Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.ccsenet.org/journal/index.php/ijef/article/download/59792/33034 (application/pdf)
http://www.ccsenet.org/journal/index.php/ijef/article/view/59792 (text/html)

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:ibn:ijefaa:v:8:y:2016:i:8:p:71

Access Statistics for this article

More articles in International Journal of Economics and Finance from Canadian Center of Science and Education Contact information at EDIRC.
Bibliographic data for series maintained by Canadian Center of Science and Education ().