The Application of Error Correction Model in Forecasting Market Volatility on Emerging Currency Options Markets

Piotr Mielus ()
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Piotr Mielus: Warsaw School of Economics, Poland

Chapter 3 in Forecasting Financial Markets. Theory and Applications, 2005, vol. 0, pp 43-55 from University of Lodz

Abstract: Chapter 3 examines an application of cointegration and error correction models in forecasting the daily volatility of returns on currency options in Poland, Hungary and South Africa. The analysis suggests that the models show satisfactory forecasting accuracy under frequent re-estimation due to instability of estimates.

Keywords: Cointegration; Error correction models; Forecasting the daily volatility of returns (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:ann:findec:book:y:2005:n:00:ch:03:mon

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