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• W2073397294 abstract "Abstract Volatility plays a key role in asset and portfolio management and derivatives pricing. As such, accurate measures and good forecasts of volatility are crucial for the implementation and evaluation of asset and derivative pricing models in addition to trading and hedging strategies. However, whilst GARCH models are able to capture the observed clustering effect in asset price volatility in‐sample, they appear to provide relatively poor out‐of‐sample forecasts. Recent research has suggested that this relative failure of GARCH models arises not from a failure of the model but a failure to specify correctly the ‘true volatility’ measure against which forecasting performance is measured. It is argued that the standard approach of using ex post daily squared returns as the measure of ‘true volatility’ includes a large noisy component. An alternative measure for ‘true volatility’ has therefore been suggested, based upon the cumulative squared returns from intra‐day data. This paper implements that technique and reports that, in a dataset of 17 daily exchange rate series, the GARCH model outperforms smoothing and moving average techniques which have been previously identified as providing superior volatility forecasts. Copyright © 2004 John Wiley & Sons, Ltd." @default.
• W2073397294 created "2016-06-24" @default.
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• W2073397294 date "2004-09-01" @default.
• W2073397294 modified "2023-10-07" @default.
• W2073397294 title "Daily volatility forecasts: reassessing the performance of GARCH models" @default.
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• W2073397294 doi "https://doi.org/10.1002/for.926" @default.
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