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oaioai:wrap.warwick.ac.uk:1828

Forecasting volatility using LINEX loss functions

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Publication date
1 June 1999
Publisher
Warwick Business School Financial Econometrics Research Centre

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

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oaioai:wrap.warwick.ac.uk:1828
Last time updated on 01/12/2017

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