Mapa, Dennis S. (2004): A Forecast Comparison of Financial Volatility Models: GARCH (1,1) is not Enough. Published in: The Philippine Statistician , Vol. 53, No. 1-4 (2004): pp. 1-10.
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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.
|Item Type:||MPRA Paper|
|Original Title:||A Forecast Comparison of Financial Volatility Models: GARCH (1,1) is not Enough|
|Keywords:||Volatility, ARCH, Parkinson Range|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models; Multiple Variables > C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods; Simulation Methods
C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics
|Depositing User:||Dennis S. Mapa|
|Date Deposited:||04. Mar 2010 10:53|
|Last Modified:||17. Feb 2013 17:44|
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