Forecasting daily return densities from intraday data: a multifractal approach

• Main Authors: Hallam, M. (Author), Olmo, J. (Author)
• Format: Article
• Language: English
• Published: 2014-10.
• Subjects: Article
• Online Access: Get fulltext

This paper proposes a new approach for estimating and forecasting the moments and probability density function of daily financial returns from intraday data. This is achieved through a new application of the distributional scaling laws for the class of multifractal processes. Density forecasts from the new multifractal approach are typically found to provide substantial improvements in predictive ability over existing forecasting methods for the EUR/USD exchange rate, and are also competitive with existing methods when forecasting the daily return density of the S&P500 and NASDAQ-100 equity index.