In this work we provide the findings of a forecast combination analysis carried out on the realized volatility series of three (DAX, CAC, AEX). Two volatility types (5 minutes, kernel) have been considered. The results suggest that forecasts computed through combining models are generally more accurate than those provided by single models. However, the choice of the latter can affect significantly the goodness of the results.

Combining forecasts to capture realized volatility dynamics

Giovanni De Luca;CARITA', DANILO
2017-01-01

Abstract

In this work we provide the findings of a forecast combination analysis carried out on the realized volatility series of three (DAX, CAC, AEX). Two volatility types (5 minutes, kernel) have been considered. The results suggest that forecasts computed through combining models are generally more accurate than those provided by single models. However, the choice of the latter can affect significantly the goodness of the results.
978-84-17293-01-7
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11367/65741
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