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Título : Forecasting Volatility Using A Continuous Time Model
Autor : Lopes Moreira da Veiga, Maria Helena
Palabras clave : Efficient Method of Moments
Reprojection
Factors of Volatility
Fractional Integration
Fecha de publicación : 4-sep-2003
Serie : UFAE and IAE Working Papers
584.03
Resumen: This paper evaluates the forecasting performance of a continuous stochastic volatility model with two factors of volatility (SV2F) and compares it to those of GARCH and ARFIMA models. The empirical results show that the volatility forecasting ability of the SV2F model is better than that of the GARCH and ARFIMA models, especially when volatility seems to change pattern. We use ex-post volatility as a proxy of the realized volatility obtained from intraday data and the forecasts from the SV2F are calculated using the reprojection technique proposed by Gallant and Tauchen (1998).
URI : http://hdl.handle.net/10261/1840
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