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http://hdl.handle.net/2259/411
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| Title: | Comparative Performance of Volatility Forecasting Models in Indian Markets |
| Authors: | Kumar, S.S.S. |
| Keywords: | Volatility forecasting
Comparative performance
Asymmetric error statistics
Symmetric error statistics |
| Issue Date: | 2006 |
| Publisher: | Decision |
| Abstract: | Volatility forecasting is an important area of research to financial markets and lot of effort has been expended in improving volatility
models since better forecasts translates into better pricing of options and better risk management. In this direction, this paper attempts to
evaluate the ability of ten different statistical and econometric volatility forecasting models to the context of Indian stock and forex
markets. These competing models are evaluated on the basis of two categories of evaluation measures – symmetric and asymmetric error
statistics. Based on an out - of - sample forecasts and using a majority of evaluation measures Ire find that G.-I RCH 11. I, and EW.1 L4
methods will lead to Netter volatility forecasts in the Indian stock market and G.4RCH (5, I) will achieve the same in the forex market The
same models perform better on the basis of asymmetric error statistics also. |
| Description: | Decision. Vol. 33, :No.2, July - December, 2006 |
| URI: | http://hdl.handle.net/2259/411 |
| Appears in Collections: | Journal Articles
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| kumar-Pdf.pdf | | 483Kb | Adobe PDF | View/Open |
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