Forecasting Standard Deviations

Stephen J. Taylor
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Stephen J. Taylor: Lancaster University, UK

Chapter 4 in Modelling Financial Time Series, 2007, pp 97-115 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:INTRODUCTIONKEY THEORETICAL RESULTSUncorrelated returnsCorrelated returnsRelative mean square errorsStationary processesFORECASTS: METHODOLOGY AND METHODSBenchmark forecastParametric forecastsProduct process forecastsARMACH forecastsEWMA forecastsFutures forecastsEmpirical RMSEFORECASTING RESULTSAbsolute returnsConditional standard deviationsTwo leading forecastsMore distant forecastsConclusions about stationarityAnother approachRECOMMENDED FORECASTS FOR THE NEXT DAYExamplesSUMMARY

Keywords: ARCH Models; Exchange Rates; Forecasting; Stock Markets; Time Series; Volatility (search for similar items in EconPapers)
Date: 2007
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