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Forecasting volatility using LINEX loss functions

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

Abstract

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

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