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Forecasting Volatility Using A Continuous Time Model

AuthorsLopes Moreira da Veiga, Maria Helena
KeywordsEfficient Method of Moments
Factors of Volatility
Fractional Integration
Issue Date4-Sep-2003
SeriesUFAE and IAE Working Papers
AbstractThis 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).
Appears in Collections:(IAE) Informes y documentos de trabajo
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