Journal article
Evaluating Volatility and Interval Forecasts
- Abstract:
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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...
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- Publication date:
- 1999-03-01
Item Description
- UUID:
-
uuid:9529c783-32d8-457b-b863-fb95e23fdd6e
- Local pid:
- oai:eureka.sbs.ox.ac.uk:1734
- Deposit date:
- 2012-01-25
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- Copyright date:
- 1999
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