Comparison of Intraday Volatility Forecasting Models for Polish Equities

• Autorzy: Magdalena Sokalska
• Języki publikacji: EN

Abstrakty

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. (original abstract)

Słowa kluczowe

EN

Stock market; Shares; Forecasting

PL

Giełda papierów wartościowych; Akcje; Prognozowanie

• Czasopismo: Metody Ilościowe w Badaniach Ekonomicznych / Szkoła Główna Gospodarstwa Wiejskiego
• Rocznik: 2012
• Tom: 13(XIII)
• Numer: nr 2
• Strony: 107--114

Twórcy

autor

Magdalena Sokalska

• Queens College, CUNY

Bibliografia

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• Patton A. (2011) Volatility forecast comparison using imperfect volatility proxies, Journal of Econometrics, 160, 246-256.
• Sokalska M. (2010) Intraday volatility modeling: The example of the Warsaw Stock Exchange, Quantitative Methods in Economics, 11, 139-144.