EconPapers    
Economics at your fingertips  
 

On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria

Christian Brownlees () and Giampiero Gallo ()

Journal of Financial Econometrics, 2008, vol. 6, issue 4, 513-539

Abstract: This paper is concerned with the issues of modeling and projecting the dynamics of volatility when a group of potentially useful predetermined variables is available. We predict realized volatility and value at risk (VaR) with a nested set of multiplicative error models for realized volatility. We make use of recently proposed focused model selection/combination strategies as well as the classic AIC/BIC. Focused strategies consist of choosing the model that minimizes the estimated MSE of a given function of the parameters of interest to the forecaster. Results show that VaR forecasts can significantly be improved upon using focused prediction strategies. Copyright The Author 2008. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: journals.permissions@oxfordjournals.org., Oxford University Press.

Date: 2008
References: Add references at CitEc
Citations: View citations in EconPapers (11) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1093/jjfinec/nbn012 (application/pdf)
Access to full text is restricted to subscribers.

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:oup:jfinec:v:6:y:2008:i:4:p:513-539

Ordering information: This journal article can be ordered from
http://www.oup.co.uk/journals

Access Statistics for this article

Journal of Financial Econometrics is currently edited by RenÈ Garcia and Eric Renault

More articles in Journal of Financial Econometrics from Society for Financial Econometrics Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK. Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ().

 
Page updated 2020-11-15
Handle: RePEc:oup:jfinec:v:6:y:2008:i:4:p:513-539