GARCH models and their variants are usually estimated using quasi-Maximum Likelihood (QML). Recent work has shown that by using estimates of quadratic variation, for example from the daily realized volatility, it is possible to estimate these models in a different way which incorporates the additional information. Theory suggests that as the precision of estimates of daily quadratic variation improves, such estimates (via LAD- ARCH approximation) should come to equal and eventually dominate the QML estimators. The present paper investigates this using a five-year sample of data on returns from all 466 S&P 500 stocks which were present in the index continuously throughout the period. The results suggest that LAD-ARCH estimates, using realized volatility on five-minute returns over the trading day, yield measures of 1-step forecast accuracy comparable or slightly superior to those obtained from QML estimates. Combining the two estimators, either by equal weighting or weighting based on cross-validation, appears to produce a clear improvement in forecast accuracy relative to either of the two different forecasting methods alone.

Voir le document

Dernières publications

2017MO-03 MO
Méthodes avancées d’évaluation d’investissements / Advanced Methods of Investment Evaluation - Tome 2
Marcel Boyer
Voir le document

2017MO-02 MO
Méthodes avancées d’évaluation d’investissements / Advanced Methods of Investment Evaluation - Tome 1
Marcel Boyer
Voir le document

2017s-08 CS
An experimental investigation of rating-market regulation
Claudia Keser, Asri Özgümüs, Emmanuel Peterlé et Martin Schmidt
Voir le document

2017s-07 CS
Statistical tests of the demand for insurance: an “all or nothing” decision
Anne Corcos, François Pannequin et Claude Montmarquette
Voir le document

2017RP-02 RP
Politiques favorables à l’innovation en santé
Nadia Benomar, Joanne Castonguay, Marie-Hélène Jobin et François Lespérance
Voir le document

Centre interuniversitaire de recherche en analyse des organisations
1130 rue Sherbrooke Ouest, suite 1400
Montréal, Québec (Canada) H3A 2M8
(514) 985-4000
(514) 985-4039

© 2017 CIRANO. Tous droits réservés.

Partenaire de :