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The structure of the paper is as follows. Section 2 presents the main characteristics of the asymmetric GARCH models used in the empirical analysis. Section 3 is dedicated to a discussion of the criteria adopted to compare different sets of forecasts. In Section 4 the data set is briefly described, and the forecasting performance of each asymmetric GARCH model for each stock market index is analyzed. Section 5 contains some concluding comments

Forte, G., Manera, M. (2006). Forecasting volatility in Asian and European Stock Markets with asymmetric GARCH models [Working paper].

Forecasting volatility in Asian and European Stock Markets with asymmetric GARCH models

FORTE, GIANFRANCO;Manera, M.
2006

Abstract

The structure of the paper is as follows. Section 2 presents the main characteristics of the asymmetric GARCH models used in the empirical analysis. Section 3 is dedicated to a discussion of the criteria adopted to compare different sets of forecasts. In Section 4 the data set is briefly described, and the forecasting performance of each asymmetric GARCH model for each stock market index is analyzed. Section 5 contains some concluding comments
Working paper
This paper investigates the forecasting performance of three popular variants of asymmetric GARCH models, namely VS-GARCH, GJR-GARCH and Q-GARCH, with the symmetric GARCH(1,1) model as the benchmark. The application involves three Asian and ten European stock price indexes. Forecasts produced by each asymmetric GARCH model and each index are evaluated using a common set of classical criteria, as well as forecast combination techniques with constant and non-constant weights. With respect to the standard GARCH specification, the asymmetric models generally lead to better forecasts in terms of both smaller forecast errors and lower biases. In-sample forecast combination regressions are better than those from single Mincer-Zarnowitz regressions. The out-of-sample performance of combining forecasts is less satisfactory, irrespective of the type of weights adopted
Volatility, GARCH, forecasting evaluation
English
1-gen-2006
3
1
36
CAREFIN - working paper
Forte, G., Manera, M. (2006). Forecasting volatility in Asian and European Stock Markets with asymmetric GARCH models [Working paper].
open
99 - Altro
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/44657
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