Forecasting volatility using combination across estimation windows: an application to S\&P500 stock market index

DOI10.3934/MBE.2019361zbMath1470.91258OpenAlexW2965545997WikidataQ91167933 ScholiaQ91167933MaRDI QIDQ2045524

Davide De Gaetano

Publication date: 13 August 2021

Published in: Mathematical Biosciences and Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/mbe.2019361

zbMATH Keywords

financial time seriesstructural breaksforecast combinationsparameter instabilityvolatility forecasting

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

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Cites Work

• The Model Confidence Set
• Neglecting parameter changes in GARCH models
• Selection of estimation window in the presence of breaks
• Volatility forecast comparison using imperfect volatility proxies
• Generalized autoregressive conditional heteroscedasticity
• Optimal forecasts in the presence of structural breaks
• Statistical Distributions
• Testing for the Constancy of Parameters Over Time
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• Automatic Lag Selection in Covariance Matrix Estimation
• Forecast Combination Across Estimation Windows

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