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Volatility forecasts evaluation and comparison

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This article surveys the most important developments in volatility forecast comparison and model selection. We review a number of evaluation methods and testing procedures for predictive accuracy based on statistical loss functions. We also review recent contributions on the admissible form of loss functions ensuring consistency of the ordering when forecast performances are evaluated with respect to an imperfect volatility proxy. The techniques discussed are illustrated using artificial and EUR/USD exchange rate data.
OriginalsprogEngelsk
TidsskriftWiley Interdisciplinary Reviews. Computational Statistics
Vol/bind4
Nummer1
Sider (fra-til)1-12
Antal sider12
ISSN1939-5108
DOI
StatusUdgivet - 1 jan. 2012

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