Volatility Forecasts: Do Volatility Estimators and Evaluation Methods Matter?. Issue 11 (24th September 2013)

• Record Type: Journal Article
• Authors: Jiang, I‐Ming; Hung, Jui‐Cheng; Wang, Chuan‐San
• Is Part Of: Journal of futures markets. Volume 34:Issue 11(2014:Nov.)
• Page Start: 1077
• Page End: 1094
• Publication Date: 2013-09-24
• Subjects: Commodity exchanges -- Periodicals; Foreign exchange futures -- Periodicals; 332.632
• DOI: 10.1002/fut.21643
• Languages: English
• ISSNs: 0270-7314

Abstract

<abstract abstract-type="main"> <title> <x xml:space="preserve">Abstract</x> </title> <sec id="fut21643-sec-0001" sec-type="section"> <p>This study investigates the volatility forecasting abilities of return‐based and range‐based estimators for two stock indices and two individual stocks in the U.S. stock market. The forecasting performances are evaluated by two robust statistical loss functions, and further by financial applications in risk management and option pricing. Consistent with previous studies, the range‐based volatility forecasts outperform in terms of statistical evaluation, value‐at‐risk calculation, and option pricing. However, return‐based volatility forecasts prove superior in the evaluation of market risk capital requirements. © 2013 Wiley Periodicals, Inc. Jrl Fut Mark 34:1077–1094, 2014</p> </sec> </abstract>