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.
Original languageEnglish
JournalWiley Interdisciplinary Reviews. Computational Statistics
Volume4
Issue1
Pages (from-to)1-12
Number of pages12
ISSN1939-5108
DOIs
Publication statusPublished - 1 Jan 2012

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