The Benefits of Bagging for Forecast Models of Realized Volatility
Eric Hillebrand () and
Marcelo Medeiros ()
Econometric Reviews, 2010, vol. 29, issue 5-6, 571-593
This article shows that bagging can improve the forecast accuracy of time series models for realized volatility. We consider 23 stocks from the Dow Jones Industrial Average over the sample period 1995 to 2005 and employ two different forecast models, a log-linear specification in the spirit of the heterogeneous autoregressive model and a nonlinear specification with logistic transitions. Both forecast model types benefit from bagging, in particular in the 1990s part of our sample. The log-linear specification shows larger improvements than the nonlinear model. Bagging the log-linear model yields the highest forecast accuracy on our sample.
Keywords: Bagging; Boostrap; HAR; Realized volatility (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:29:y:2010:i:5-6:p:571-593
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