Asymmetry dynamic volatility forecast evaluations using interday and intraday data
The accuracy of financial time series forecasts often rely on the model precision and the availability of actual observations for forecast evaluations. This study aimed to tackle these issues in order to obtain a suitable asymmetric time-varying volatility model that outperformed in the forecast...
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Universiti Kebangsaan Malaysia
2012
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my-ukm.journal.55362016-12-14T06:38:45Z http://journalarticle.ukm.my/5536/ Asymmetry dynamic volatility forecast evaluations using interday and intraday data Chin, Wen Cheong Ng, Sew Lai Zaidi Isa, Abu Hassan Shaari Mohd Nor, The accuracy of financial time series forecasts often rely on the model precision and the availability of actual observations for forecast evaluations. This study aimed to tackle these issues in order to obtain a suitable asymmetric time-varying volatility model that outperformed in the forecast evaluations based on interday and intraday data. The model precision was examined based on the most appropriate time-varying volatility representation under the autoregressive conditional heteroscedascity framework. For forecast precision, the evaluations were conducted under three loss functions using the volatility proxies and realized volatility. The empirical studies were implemented on two major financial markets and the estimated results are applied in quantifying their market risks. Empirical results indicated that Zakoian model provided the best in-sample forecasts whereas DGE on the other hand indicated better out-of-sample forecasts. For the type of volatility proxy selection, the implementation of intraday data in the latent volatility indicated significant improvement in all the time horizon forecasts. Universiti Kebangsaan Malaysia 2012-10 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/5536/1/16%2520Chin%2520Wen%2520Cheong.pdf Chin, Wen Cheong and Ng, Sew Lai and Zaidi Isa, and Abu Hassan Shaari Mohd Nor, (2012) Asymmetry dynamic volatility forecast evaluations using interday and intraday data. Sains Malaysiana, 41 (10). pp. 1287-1299. ISSN 0126-6039 http://www.ukm.my/jsm/contents.html |
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| description |
The accuracy of financial time series forecasts often rely on the model precision and the availability of actual observations
for forecast evaluations. This study aimed to tackle these issues in order to obtain a suitable asymmetric time-varying
volatility model that outperformed in the forecast evaluations based on interday and intraday data. The model precision
was examined based on the most appropriate time-varying volatility representation under the autoregressive conditional
heteroscedascity framework. For forecast precision, the evaluations were conducted under three loss functions using the
volatility proxies and realized volatility. The empirical studies were implemented on two major financial markets and the
estimated results are applied in quantifying their market risks. Empirical results indicated that Zakoian model provided
the best in-sample forecasts whereas DGE on the other hand indicated better out-of-sample forecasts. For the type of
volatility proxy selection, the implementation of intraday data in the latent volatility indicated significant improvement
in all the time horizon forecasts. |
| format |
Article |
| author |
Chin, Wen Cheong Ng, Sew Lai Zaidi Isa, Abu Hassan Shaari Mohd Nor, |
| spellingShingle |
Chin, Wen Cheong Ng, Sew Lai Zaidi Isa, Abu Hassan Shaari Mohd Nor, Asymmetry dynamic volatility forecast evaluations using interday and intraday data |
| author_facet |
Chin, Wen Cheong Ng, Sew Lai Zaidi Isa, Abu Hassan Shaari Mohd Nor, |
| author_sort |
Chin, Wen Cheong |
| title |
Asymmetry dynamic volatility forecast evaluations using interday and intraday data |
| title_short |
Asymmetry dynamic volatility forecast evaluations using interday and intraday data |
| title_full |
Asymmetry dynamic volatility forecast evaluations using interday and intraday data |
| title_fullStr |
Asymmetry dynamic volatility forecast evaluations using interday and intraday data |
| title_full_unstemmed |
Asymmetry dynamic volatility forecast evaluations using interday and intraday data |
| title_sort |
asymmetry dynamic volatility forecast evaluations using interday and intraday data |
| publisher |
Universiti Kebangsaan Malaysia |
| publishDate |
2012 |
| url |
http://journalarticle.ukm.my/5536/1/16%2520Chin%2520Wen%2520Cheong.pdf http://journalarticle.ukm.my/5536/ http://www.ukm.my/jsm/contents.html |
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13.211869 |