Forecasting Volatility of Turkish Markets: A Comparison of Thin and Thick Models
Ekrem Kilic ()
Econometrics from University Library of Munich, Germany
Volatility of financial markets is an important topic for academics, policy makers and market participants. In this study first I summarized several specifications for the conditional variance and also define some methods for combination of these specifications. Then assuming that the squared returns are the benchmark estimate for actual volatility of the day, I compare all of the models with respect to how much efficient they are to mimic the realized volatility. At the same time I used a VaR approach to compare these forecasts. With the help of these analyses I examine if combination of the forecast could outperform the single models.
Keywords: volatility; arch; garch; combination; VaR (search for similar items in EconPapers)
JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn, nep-cwa, nep-ecm, nep-fmk and nep-for
Note: Type of Document - pdf; pages: 52
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpem:0510007
Access Statistics for this paper
More papers in Econometrics from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ().