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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/25451
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| Title: | | Volatility forecasting  |
| Authors: | | Andersen, Torben G. Bollerslev, Tim Christoffersen, Peter F. Diebold, Francis X. |
| Issue Date: | | 2005 |
| Series/Report no.: | | CFS Working Paper 2005/08 |
| Abstract: | | Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then discusses a series of different economic situations in which volatility plays a crucial role, ranging from the use of volatility forecasts in portfolio allocation to density forecasting in risk management. Sections 3, 4 and 5 present a variety of alternative procedures for univariate volatility modeling and forecasting based on the GARCH, stochastic volatility and realized volatility paradigms, respectively. Section 6 extends the discussion to the multivariate problem of forecasting conditional covariances and correlations, and Section 7 discusses volatility forecast evaluation methods in both univariate and multivariate cases. Section 8 concludes briefly. |
| JEL: | | C10 C53 G1 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CFS Working Paper Series, Universität Frankfurt a. M.
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