A Forecast Comparison of Financial Volatility Models: GARCH (1,1) is not Enough

Dennis Mapa ()

MPRA Paper from University Library of Munich, Germany

Abstract: Asset allocation and risk calculations depend largely on volatile models. The parameters of the volatility models are estimated using either the Maximum Likelihood (ML) or the Quasi-Maximum Likelihood (QML). By comparing the out-of-sample forecasting performance of 68 ARCH-type models using inter-daily data on the peso-dollar exchange rate, this study shows that it is important to correctly specify the distribution of the asset returns and not only focus on the specification of the volatility. The forecasts are compared to the Parkinson Range, an alternative to the Realized Volatility.

Keywords: Volatility; ARCH; Parkinson Range (search for similar items in EconPapers)
JEL-codes: C01 C32 C53 (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (2)

Published in The Philippine Statistician 1-4.53(2004): pp. 1-10

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:21028

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