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The Relative Performance of Conditional Volatility Models - An Empirical Evaluation on the Nordic Equity Markets

Blomqvist, Kristoffer LU (2014) NEKP01 20141
Department of Economics
Abstract
By regressing volatility series of equity returns on macroeconomic variables using data from the Nordic countries, three conditional volatility models are evaluated on their ability to capture effects of long-run volatility shocks. In addition, the same models' short-run forecasting performance is tested by employing a rolling window approach. The results suggest that none of the models are superior of capturing long-run volatility effects. The same holds for the short-run forecasting performance. The Stochastic Volatility model has the worst performance on average, while the difference between the GARCH-type models are negligible.
Please use this url to cite or link to this publication:
author
Blomqvist, Kristoffer LU
supervisor
organization
course
NEKP01 20141
year
type
H2 - Master's Degree (Two Years)
subject
keywords
Volatility components, forecasting, long-run volatility effects, explanatory power, conditional volatility
language
English
id
4616672
date added to LUP
2014-09-22 13:45:48
date last changed
2014-09-22 13:45:48
@misc{4616672,
  abstract     = {{By regressing volatility series of equity returns on macroeconomic variables using data from the Nordic countries, three conditional volatility models are evaluated on their ability to capture effects of long-run volatility shocks. In addition, the same models' short-run forecasting performance is tested by employing a rolling window approach. The results suggest that none of the models are superior of capturing long-run volatility effects. The same holds for the short-run forecasting performance. The Stochastic Volatility model has the worst performance on average, while the difference between the GARCH-type models are negligible.}},
  author       = {{Blomqvist, Kristoffer}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{The Relative Performance of Conditional Volatility Models - An Empirical Evaluation on the Nordic Equity Markets}},
  year         = {{2014}},
}