Evaluating the Performance of Forecasting Models for Portfolio Allocation Purposes with Generalized GRACH Method

Subject Areas : Financial Mathematics

Adel Azar ¹ , Mohsen Hamidian ² , Maryam Saberi ³ , Mohammad Norozi ⁴

1 - Faculty of Management & Economics , University of Tarbiat Modares , Tehran, Iran
2 - Faculty of Economics & Accounting , University of Islamic Azad south Tehran, Tehran, Iran
3 - Faculty of Management & Economics , University of Tarbiat Modares , Tehran, Iran
4 - Faculty of Economics & Accounting , University of Islamic Azad south Tehran, Tehran, Iran

Received: 2016-10-11 Accepted : 2017-03-08 Published : 2017-03-01

Keywords:

References:

[1]. Andersen, T.G., Bollerslev, T., Encyclopedia of Statistical Sciences, John Wiley & Sons, Ltd, 1998.

[2]. Andersen, T. G., Bollerslev, T., Christoffersen, P., & Diebold, F. X., Practical volatility and correlation modeling for financial market risk management The risks of financial institutions, University of Chicago Press, 2007.

[3]. Alexander, C. and Chibumba, A., Multivariate orthogonal factor GARCH, Working Paper, Mathematics Department, University of Sussex, 1996.

[4]. Becker, R., Clements, A.E., Doolan, M.B., Hurn, A.S., Selecting volatility forecasting models for portfolio allocation purposes, International Journal of Forecasting, 2015, 31, (3), P. 849-861.

[5]. Clark, T. and McCracken, M., Tests of equal forecast accuracy and encompassing for nested models, Journal of Econometrics, 2001, 105, (1), P. 85-110.

[6]. Danielsson, J., Financial Risk Forecasting, Wiley 2011.

[7]. Diebold, F. and Mariano, R., Comparing Predictive Accuracy, Journal of Business & Economic Statistics, 1995, 13, (3), P. 253-63.

[8]. Engle, R, and Colacito, R., Testing and Valuing Dynamic Correlations for Asset Allocation, Journal of Business & Economic Statistics, 2006, 24, P. 238-253.

[9]. Elliott, G. and Timmermann, A., Economic Forecasting, Princeton University Press, 2008.

[10]. Fleming, J., (2001), The Economic Value of Volatility Timing, Journal of Finance, 2001, 56, (1), P. 329-352.

[11]. Fleming, J., Kirby, C. and Ostdiek, B., The economic value of volatility timing using "realized" volatility, Journal of Financial Economics, 2003, 67, (3), P. 473-509.

[12]. Hansen, P. R., Lunde, A., & Nason, J. M., The model confidence set. Econometrica, 2011, 79, (2), P. 453-497.

[13]. Hansen, PR., Lunde, A., Realized variance and market microstructure noise, Journal of Business and Economic Statistics, 2006, 24 (2), P. 127-161.

[14]. Laurent SFJA, Rombouts JVK, Violante F., On loss functions and ranking forecasting performances of multivariate volatility models. Journal of Econometrics. 2013, 173 (1), P. 1-10. 

[15]. Patton, AJ, Sheppard, K., Evaluating volatility and correlation forecasts, Handbook of financial time series, 2009.

[16]. Patton, AJ, Volatility forecast comparison using imperfect volatility proxies, Journal of Econometrics, 2011, 160, P. 246–256.