Article thumbnail

Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities

By Torben G. Andersen, Tim Bollerslev and Nour Meddahi

Abstract

We develop general model-free adjustment procedures for the calculation of unbiased volatility loss functions based on practically feasible realized volatility benchmarks. The procedures, which exploit the recent non-parametric asymptotic distributional results in Barndorff-Nielsen and Shephard (2002a) along with new results explicitly allowing for leverage effects, are both easy-to-implement and highly accurate in empirically realistic situations. On properly accounting for the measurement errors in the volatility forecast evaluations reported in Andersen, Bollerslev, Diebold and Labys (2003), the adjustments result in markedly higher estimates for the true degree of return volatility predictability

Year: 2004
OAI identifier: oai:CiteSeerX.psu:10.1.1.212.390
Provided by: CiteSeerX
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://citeseerx.ist.psu.edu/v... (external link)
  • http://gremaq.univ-tlse1.fr/pe... (external link)

  • To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.

    Suggested articles