Location of Repository

Forecasting volatility using LINEX loss functions

By Soosung Hwang, John L. Knight and S. (Stephen) Satchell


This paper applies the LINEX loss functions to volatility forecasting. We derive the optimal one-step-ahead LINEX forecast for various volatility models. Our results suggest that the LINEX loss function may give us better forecasts than conventional ones

Topics: HB, QA
Publisher: Warwick Business School Financial Econometrics Research Centre
Year: 1999
OAI identifier: oai:wrap.warwick.ac.uk:1828

Suggested articles


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