Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions

  • Giovanni De Luca Università di Napoli "Parthenope", Italy
  • Giampiero M. Gallo Università di Firenze, Italy
  • Danilo Carità Università di Napoli "Parthenope", Italy
Keywords: Realized Volatility, Forecast Combinations, Loss Functions

Abstract

In this work we provide the findings of a forecast combination analysis carried out on the realized volatility series of three market indexes (DAX, CAC, and AEX). Two volatility types (5 minutes, kernel) have been considered. Different loss functions suggest that forecasts computed through combining models are generally more accurate than those provided by single models. However, the choice of the latter can significantly affect the goodness of the results.

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Published
2018-01-05
How to Cite
De Luca, G., Gallo, G., & Carità, D. (2018). Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions. Econometric Research in Finance, 2(2), 99 - 111. https://doi.org/10.33119/ERFIN.2017.2.2.3
Section
Articles
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