VOLATILITY FORECASTS: DO VOLATILITY ESTIMATORS AND EVALUATION METHODS MATTER?

文化大學機構典藏 CCUR > 商學院 > 財務金融學系 > 期刊論文 > Item 987654321/29131

請使用永久網址來引用或連結此文件: https://irlib.pccu.edu.tw/handle/987654321/29131

題名:	VOLATILITY FORECASTS: DO VOLATILITY ESTIMATORS AND EVALUATION METHODS MATTER?
作者:	Jiang, I-Ming Hung, Jui-Cheng Wang, Chuan-San
貢獻者:	財金系
關鍵詞:	REALIZED VOLATILITY ECONOMIC VALUE RANGE VARIANCE REGRESSION MODELS
日期:	2014-11
上傳時間:	2015-01-20 10:11:51 (UTC+8)
摘要:	This study investigates the volatility forecasting abilities of return-based and range-based estimators for two stock indices and two individual stocks in the U.S. stock market. The forecasting performances are evaluated by two robust statistical loss functions, and further by financial applications in risk management and option pricing. Consistent with previous studies, the range-based volatility forecasts outperform in terms of statistical evaluation, value-at-risk calculation, and option pricing. However, return-based volatility forecasts prove superior in the evaluation of market risk capital requirements. (c) 2013 Wiley Periodicals, Inc.
關聯:	JOURNAL OF FUTURES MARKETS 卷: 34 期: 11 頁碼: 1077-1094
顯示於類別:	[財務金融學系 ] 期刊論文

文件中的檔案:

檔案	描述	大小	格式	瀏覽次數
index.html		0Kb	HTML	417	檢視/開啟

檢視Licence

在CCUR中所有的資料項目都受到原著作權保護.