Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions

Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions

In this work we provide the findings of a forecast combination analysis carried out on the realized volatility series of three market indexes (DAX, CAC, and AEX). Two volatility types (5 minutes, kernel) have been considered. Different loss functions suggest that forecasts computed through combining...

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Bibliographic Details
Main Authors: Giovanni De Luca, Giampiero M. Gallo, Danilo Carità
Format: Article
Language:English
Published: SGH Warsaw School of Economics, Collegium of Economic Analysis 2018-01-01
Series:Econometric Research in Finance
Online Access:https://erfin.org/journal/index.php/erfin/article/view/18
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spelling doaj-0e599852da9248c3947808cfc3c83c6d2020-11-24T21:16:07ZengSGH Warsaw School of Economics, Collegium of Economic Analysis Econometric Research in Finance2451-19352451-23702018-01-01229911110.33119/ERFIN.2017.2.2.318Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss FunctionsGiovanni De Luca0Giampiero M. Gallo1Danilo Carità2Universita degli Studi di Napoli "Parthenope"Università degli Studi di FirenzeUniversità degli Studi di Napoli "Parthenope"In this work we provide the findings of a forecast combination analysis carried out on the realized volatility series of three market indexes (DAX, CAC, and AEX). Two volatility types (5 minutes, kernel) have been considered. Different loss functions suggest that forecasts computed through combining models are generally more accurate than those provided by single models. However, the choice of the latter can significantly affect the goodness of the results.https://erfin.org/journal/index.php/erfin/article/view/18
collection DOAJ
language English
format Article
sources DOAJ
author Giovanni De Luca
Giampiero M. Gallo
Danilo Carità
spellingShingle Giovanni De Luca
Giampiero M. Gallo
Danilo Carità
Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions
Econometric Research in Finance
author_facet Giovanni De Luca
Giampiero M. Gallo
Danilo Carità
author_sort Giovanni De Luca
title Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions
title_short Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions
title_full Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions
title_fullStr Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions
title_full_unstemmed Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions
title_sort evaluating combined forecasts for realized volatility using asymmetric loss functions
publisher SGH Warsaw School of Economics, Collegium of Economic Analysis
series Econometric Research in Finance
issn 2451-1935
2451-2370
publishDate 2018-01-01
description In this work we provide the findings of a forecast combination analysis carried out on the realized volatility series of three market indexes (DAX, CAC, and AEX). Two volatility types (5 minutes, kernel) have been considered. Different loss functions suggest that forecasts computed through combining models are generally more accurate than those provided by single models. However, the choice of the latter can significantly affect the goodness of the results.
url https://erfin.org/journal/index.php/erfin/article/view/18
work_keys_str_mv AT giovannideluca evaluatingcombinedforecastsforrealizedvolatilityusingasymmetriclossfunctions
AT giampieromgallo evaluatingcombinedforecastsforrealizedvolatilityusingasymmetriclossfunctions
AT danilocarita evaluatingcombinedforecastsforrealizedvolatilityusingasymmetriclossfunctions
_version_ 1726017006201733120

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