Volatility forecasting
By: Torben G. Andersen ... [et al.].
Contributors: Andersen, Torben G.; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 11188; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 11188.
Publisher: National Bureau of Economic Research
Published: 2005
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Economic forecasting.; Risk.
Description: "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"--National Bureau of Economic Research web site.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 3/16/2005.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.