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  1. 1 Metody Ilościowe w Badaniach Ekonomicznych

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  1. 1 Sokalska M.

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  1. 1 2012

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Comparison of intraday volatility forecasting models for polish equities

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Sokalska M.
Metody Ilościowe w Badaniach Ekonomicznych
|
2012
|
vol. 13
|
issue 2
107-124
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.
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