Journal article icon

Journal article

Evaluating Volatility and Interval Forecasts

Abstract:

A widely used approach to evaluating volatility forecasts uses a regression framework which measures the bias and variance of the forecast. We show that the associated test for bias is inappropriate before introducing a more suitable procedure which is based on the test for bias in a conditional mean forecast. Although volatility has been the most common measure of the variability in a financial time series, in many situations confidence interval forecasts are required. We consider the evalua...

Expand abstract

Actions


Authors


Publication date:
1999-03-05
URN:
uuid:9529c783-32d8-457b-b863-fb95e23fdd6e
Local pid:
oai:eureka.sbs.ox.ac.uk:1734

Terms of use


Metrics


Views and Downloads






If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP