Comparison of intraday volatility forecasting models for polish equities

• Authors: Magdalena Sokalska
• Languages of publication: EN

Abstracts

EN

Several competing intraday volatility forecasting models for equally spaced data have been proposed in the literature. This study reviews a number of models and compares their forecasting performance using data on the market index of the Warsaw Stock Exchange. We also discuss choice criteria and issues specific to volatility forecast evaluation.

Keywords

EN

forecasting volatility; ARCH; intraday equity returns

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2012
• Volume: 13
• Issue: 2
• Pages: 107-124

Dates

published

2012

Contributors

author

Magdalena Sokalska

• Queens College, City University of New York

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