search query: @author Hördahl, P. / total: 2
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| Author: | Hansson, B. Hördahl, P. |
| Title: | Forecasting variance using stochastic volatility and GARCH |
| Journal: | European Journal of Finance
2005 : FEB, VOL. 11:1, p. 33-57 |
| Index terms: | |
| Freeterms: | Forecasting ability GARCH models Stochastic volatily Variance Weekend/holiday effects |
| Language: | eng |
| Abstract: | This article estimates the conditional variance of daily Swedish OMX-index returns with stochastic volatility (SV) models and GARCH models and evaluates the in-sample performance as well as the out-of-sample forecasting ability models. Asymmetric as well as weekend/holiday effects are allowed for in the variance, and the assumption that errors are Gaussian is released. Evidence is found of a leverage effect and higher variance during weekends. In both out-of-sample and in-sample comparisons SV models outperform GARCH models. However, weekend/holiday effects and non-Gaussian errors are important for the in-sample fit, it is just found that these factors do not contribute to enhancing the forecasting ability of the SV models. |
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