Next Article in Journal
An Empirical Analysis for the Prediction of a Financial Crisis in Turkey through the Use of Forecast Error Measures
Previous Article in Journal
Inflation and Speculation in a Dynamic Macroeconomic Model
Previous Article in Special Issue
Interconnected Risk Contributions: A Heavy-Tail Approach to Analyze U.S. Financial Sectors
Article Menu

Export Article

Open AccessArticle
J. Risk Financial Manag. 2015, 8(3), 311-336; doi:10.3390/jrfm8030311

Volatility Forecast in Crises and Expansions

Department of Economics, University of Western Ontario, Social Science Centre Rm 4064, London, N6A5C2, Canada
Academic Editor: Sheri Markose
Received: 26 February 2015 / Revised: 30 May 2015 / Accepted: 6 July 2015 / Published: 5 August 2015
(This article belongs to the Special Issue Financial Risk Modeling and Forecasting)
View Full-Text   |   Download PDF [1066 KB, uploaded 5 August 2015]   |  

Abstract

We 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
Keywords: volatility forecast; non-linear time series models volatility forecast; non-linear time series models
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

Scifeed alert for new publications

Never miss any articles matching your research from any publisher
  • Get alerts for new papers matching your research
  • Find out the new papers from selected authors
  • Updated daily for 49'000+ journals and 6000+ publishers
  • Define your Scifeed now

SciFeed Share & Cite This Article

MDPI and ACS Style

Pypko, S. Volatility Forecast in Crises and Expansions. J. Risk Financial Manag. 2015, 8, 311-336.

Show more citation formats Show less citations formats

Related Articles

Article Metrics

Article Access Statistics

1

Comments

[Return to top]
J. Risk Financial Manag. EISSN 1911-8074 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top