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|Title:||Volatility forecasting |
|Authors:||Andersen, Torben G.|
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.|
|Persistent Identifier of the first edition:||urn:nbn:de:hebis:30-10791|
|Document Type:||Working Paper|
|Appears in Collections:||CFS Working Paper Series, Universität Frankfurt a. M.|
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