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Business and Economics > Investments: Stocks

You are looking at 1 - 2 of 2 items for :

  • Type: Journal Issue x
  • Economic forecasting x
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Cover IMF Working Papers
The Use of Encompassing Tests for Forecast Combinations
Turgut Kisinbay
The paper proposes an algorithm that uses forecast encompassing tests for combining forecasts. The algorithm excludes a forecast from the combination if it is encompassed by another forecast. To assess the usefulness of this approach, an extensive empirical analysis is undertaken using a U.S. macroecoomic data set. The results are encouraging as the algorithm forecasts outperform benchmark model forecasts, in a mean square error (MSE) sense, in a majority of cases.
Keywords:
WP; data set; simple average; algorithm forecast; null hypothesis; RMSE gain
Cover IMF Working Papers
Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons
Turgut Kisinbay
Using realized volatility to estimate conditional variance of financial returns, we compare forecasts of volatility from linear GARCH models with asymmetric ones. We consider horizons extending to 30 days. Forecasts are compared using three different evaluation tests. With data from an equity index and two foreign exchange returns, we show that asymmetric models provide statistically significant forecast improvements upon the GARCH model for two of the datasets and improve forecasts for all datasets by means of forecasts combinations. These results extend to about 10 days in the future, beyond which the forecasts are statistically inseparable from each other.
Keywords:
WP; EGARCH model; high frequency; TARCH model; null hypothesis; GARCH; high-frequency data; realized volatility; integrated volatility; and asymmetric volatility; GARCH model; benchmark model; APARCH model; JPY dataset; standard deviation; volatility model; Asset prices; Stock markets; Stocks