Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions

Giovanni De Luca, Giampiero Gallo () and Danilo Carità
Additional contact information
Giovanni De Luca: Universita degli Studi di Napoli "Parthenope", Italy
Danilo Carità: Universita degli Studi di Napoli "Parthenope", Italy

Econometric Research in Finance, 2017, vol. 2, issue 2, 99-111

Abstract: In this work we provide the findings of a forecast combination analysis carried out on the realized volatility series of three market indexes (DAX, CAC, and AEX). Two volatility types (5 minutes, kernel) have been considered. Different loss functions suggest that forecasts computed through combining models are generally more accurate than those provided by single models. However, the choice of the latter can significantly affect the goodness of the results.

Keywords: realized volatility; forecast combinations; loss functions (search for similar items in EconPapers)
JEL-codes: C22 C53 C58 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://erfin.org/journal/index.php/erfin/article/view/18 Full text (application/pdf)

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:sgh:erfinj:v:2:y:2017:i:2:p:99-111

DOI: 10.33119/ERFIN.2017.2.2.3

Access Statistics for this article

Econometric Research in Finance is currently edited by Dobromił Serwa and Piotr Wdowiński

More articles in Econometric Research in Finance from SGH Warsaw School of Economics, Collegium of Economic Analysis Contact information at EDIRC.
Bibliographic data for series maintained by Dobromił Serwa ().