Arbeitspapier
Forecasting volatility under fractality, regime-switching, long memory and student-t innovations
We examine the performance of volatility models that incorporate features such as long (short) memory, regime-switching and multifractality along with two competing distributional assumptions of the error component, i.e. Normal vs Student-t. Our precise contribution is twofold. First, we introduce a new model to the family of Markov-Switching Multifractal models of asset returns (MSM), namely, the Markov-Switching Multifractal model of asset returns with Student-t innovations (MSM-t). Second, we perform a comprehensive panel forecasting analysis of the MSM models as well as other competing volatility models of the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) legacy. Our cross-sections consist of all-share equity indices, bond indices and real estate security indices at the country level. Furthermore, we investigate complementarities between models via combined forecasts. We find that: (i) Maximum Likelihood (ML) and Generalized Method of Moments (GMM) estimation are both suitable for MSM-t models, (ii) empirical panel forecasts of MSM-t models show an improvement over the alternative volatility models in terms of mean absolute forecast errors and that (iii) forecast combinations obtained from the different MSM and (FI)GARCH models considered appear to provide some improvement upon forecasts from single models.
- Sprache
-
Englisch
- Erschienen in
-
Series: Kiel Working Paper ; No. 1532
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: General
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
Multiplicative volatility models
long memory
Student-t innovations
international volatility forecasting
Kapitalertrag
Börsenkurs
Volatilität
Prognoseverfahren
Zeitreihenanalyse
Markovscher Prozess
ARCH-Modell
Schätzung
Aktienmarkt
Japan
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Lux, Thomas
Morales-Arias, Leonardo
- Ereignis
-
Veröffentlichung
- (wer)
-
Kiel Institute for the World Economy (IfW)
- (wo)
-
Kiel
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
- 10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Lux, Thomas
- Morales-Arias, Leonardo
- Kiel Institute for the World Economy (IfW)
Entstanden
- 2009
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