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Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions

Giovanni De Luca, Giampiero Gallo () and Danilo Carità
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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
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