The Relative Performance of Conditional Volatility Models - An Empirical Evaluation on the Nordic Equity Markets
(2014) NEKP01 20141Department 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:
http://lup.lub.lu.se/student-papers/record/4616672
- author
- Blomqvist, Kristoffer LU
- supervisor
-
- Bujar Huskaj LU
- organization
- course
- NEKP01 20141
- year
- 2014
- 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}}, }