search query: @author Brailsford, T. / total: 4
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| Author: | Brailsford, T. Faff, R. |
| Title: | An evaluation of volatility forecasting techniques |
| Journal: | Journal of Banking and Finance
1996 : APR, VOL. 20:6, p. 419-438 |
| Index terms: | BANKING FINANCE FORECASTING TECHNIQUES |
| Language: | eng |
| Abstract: | The existing literature contains conflicting evidence regarding the relative quality of stock market volatility forecasts. Evidence can be found supporting the superiority of relatively complex models (including ARCH class models), while there is also evidence supporting the superiority of more simple alternatives. These inconsistencies are of particular concern because of the use of, and reliance on, volatility forecasts in key economic decision-making and analysis, and in asset/option pricing. this paper employs daily Australian data to examine this issue. |
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