Volatility Forecast in Crises and Expansions
AbstractWe build a discrete-time non-linear model for volatility forecasting purposes. This model belongs to the class of threshold-autoregressive models, where changes in regimes are governed by past returns. The ability to capture changes in volatility regimes and using more accurate volatility measures allow outperforming other benchmark models, such as linear heterogeneous autoregressive model and GARCH specifications. Finally, we show how to derive closed-form expression for multiple-step-ahead forecasting by exploiting information about the conditional distribution of returns. View Full-Text
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Pypko, S. Volatility Forecast in Crises and Expansions. J. Risk Financial Manag. 2015, 8, 311-336.
Pypko S. Volatility Forecast in Crises and Expansions. Journal of Risk and Financial Management. 2015; 8(3):311-336.Chicago/Turabian Style
Pypko, Sergii. 2015. "Volatility Forecast in Crises and Expansions." J. Risk Financial Manag. 8, no. 3: 311-336.