How Well Do Models of Stock Market Volatility Forecast at Longer Horizons?

Burkhard Raunig

Chapter 5 in Forecasting Financial Markets. Theory and Applications, 2005, vol. 0, pp 71-84 from University of Lodz

Abstract: Chapter 5 is devoted to a long-term out-of-sample forecasting performance of volatility models for DAX, FTSE 30 and S&P 500 stock index returns. The predictive power of models is evaluated with loss functions, a regression approach and value-at-risk methods. It is asserted that GARCH models outperform simpler models at shorter and longer horizons, although the forecasting performance of naive models improves as the forecasting horizon increases.

Keywords: Stock market volatility forecast; Value-at-risk; GARCH model (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2005
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