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GARCH, Outliers, and Forecasting Volatility
2011The issue of detecting and handling outliers in GARCH processes has received considerable attention recently. In this chapter, we put forwardan iterative outlier detection procedure, which is appropriate given that in practice both the number of outliers as well as their timing is unknown. Our procedure aims to test for the presence of a single outlier
Franses, Philip Hans, van Dijk, Dick
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Sentiment-aware volatility forecasting
Knowledge-Based Systems, 2019Abstract Recent advances in the integration of deep recurrent neural networks and statistical inferences have paved new avenues for joint modeling of moments of random variables, which is highly useful for signal processing, time series analysis, and financial forecasting.
Frank Z. Xing +2 more
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Neural network volatility forecasts
Intelligent Systems in Accounting, Finance and Management, 2007AbstractWe analyse whether the use of neural networks can improve ‘traditional’ volatility forecasts from time‐series models, as well as implied volatilities obtained from options on futures on the Spanish stock market index, the IBEX‐35.One of our main contributions is to explore the predictive ability of neural networks that incorporate both implied ...
José R. Aragonés +2 more
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Volatility Processes and Volatility Forecast with Long Memory
SSRN Electronic Journal, 2002We introduce a new family of processes that include the long memory (power law) in the volatility correlation. This is achieved by measuring the historical volatility on a set of increasing time horizons and by computing the resulting effective volatility by a sum with power law weights. In the limit where only one component is included, the models are
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Automated Volatility Forecasting
Management ScienceWe develop an automated system to forecast volatility by leveraging more than 100 features and five machine learning algorithms. Considering the universe of S&P 100 stocks, our system results in superior out-of-sample volatility forecasts compared with existing risk models across forecast horizons.
Sophia Zhengzi Li, Yushan Tang
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Practical Issues in Forecasting Volatility
CFA Digest, 2005A comparison is presented of 93 studies that conducted tests of volatility-forecasting methods on a wide range of financial asset returns. The survey found that option-implied volatility provides more accurate forecasts than time-series models.
Poon, Ser Huang; id_orcid 0000-0002-7297-9401 +1 more
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Volatility forecasts evaluation and comparison
WIREs Computational Statistics, 2011AbstractThis article surveys the most important developments in volatility forecast comparison and model selection. We review a number of evaluation methods and testing procedures for predictive accuracy based on statistical loss functions. We also review recent contributions on the admissible form of loss functions ensuring consistency of the ordering
VIOLANTE, FRANCESCO +1 more
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Financial Markets, Institutions & Instruments, 1997
This monograph puts together results from several lines of research that I have pursued over a period of years, on the general topic of volatility forecasting for option pricing applications. It is not meant to be a complete survey of the extensive literature on the subject, nor is it a definitive set of prescriptions on how to get the best volatility ...
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This monograph puts together results from several lines of research that I have pursued over a period of years, on the general topic of volatility forecasting for option pricing applications. It is not meant to be a complete survey of the extensive literature on the subject, nor is it a definitive set of prescriptions on how to get the best volatility ...
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Earnings forecasts and idiosyncratic volatilities
International Review of Financial Analysis, 2008Abstract We test the theoretical relation between idiosyncratic return volatilities and the volatilities of cash-flow news based on the expected returns on equity (ROE) for CRSP stocks over the period 1977–2008. Consistent with economic intuition, we find that using analyst forecasts of earnings is superior to using realized earnings to proxy for ...
Lawrence Kryzanowski, sana mohsni
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Volatility Forecasting and Microstructure Noise
SSRN Electronic Journal, 2006zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ghysels, Eric, Sinko, Arthur
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