文章基本信息

标题：Intraday volatility forecasting: analysis of alternative distributions
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作者：Paulo Sérgio Ceretta ; Fernanda Galvão de Barba ; Kelmara Mendes Vieira 等
期刊名称：Brazilian Review of Finance
印刷版ISSN：1984-5146
出版年度：2011
卷号：9
期号：2
页码：209-226
语种：Portuguese
出版社：Link to the Brazilian Society of Finance
摘要：Volatility forecasting has been of great interest both in academic and professional fields all over the world. However, there is no agreement about the best model to estimate volatility. New models include measures of skewness, changes of regimes and different distributions; few studies, though, have considered different distributions. This paper aims to investigate how the specification of a distribution influences the performance of volatility forecasting on Ibovespa intraday data, using the APARCH model. The forecasts were carried out assuming six distinct distributions: normal, skewed normal, t-student, skewed t-student, generalized and skewed generalized. The results evidence that the model considering the skewed t-student distribution offered the best fit to the data inside the sample, on the other hand, the model assuming a normal distribution provided a better out-of-the-sample performance forecast.
其他摘要：Volatility forecasting has been of great interest both in academic and professional fields all over the world. However, there is no agreement about the best model to estimate volatility. New models include measures of skewness, changes of regimes and different distributions; few studies, though, have considered different distributions. This paper aims to investigate how the specification of a distribution influences the performance of volatility forecasting on Ibovespa intraday data, using the APARCH model. The forecasts were carried out assuming six distinct distributions: normal, skewed normal, t-student, skewed t-student, generalized and skewed generalized. The results evidence that the model considering the skewed t-student distribution offered the best fit to the data inside the sample, on the other hand, the model assuming a normal distribution provided a better out-of-the-sample performance forecast.
关键词：volatility;forecasting models;different distributions;volatilidade;modelos de previsão;diferentes distribuições
其他关键词：Econometrics; statistics;volatility; forecasting models; different distributions;C01, C53, G17