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| Author: | Balaban, E. Bayar, A. Faff, R. |
| Title: | Forecasting stock market volatility: further international evidence |
| Journal: | European Journal of Finance
2006 : FEB, VOL. 12:2, p. 171-188 |
| Index terms: | evaluation forecasting investments stock markets volatility |
| Language: | eng |
| Abstract: | This article evaluates eleven different forecasting methods for forecasting the volatility of a stock market. Volatility is tested in fifteen stock markets for the ten-year period from 1988 to 1997. The authors find that the exponential smoothing model provides the most accuracy of the models tested. However, this varies with the penalization of under- /over-prediction. |
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