Relatore:
Giampiero Gallo
- Corte dei Conti
mercoledì 27 novembre 2019
alle ore
12.00
Polo Santa Marta, Via Cantarane 24, Sala Vaona
This paper evaluates the in-sample fit and out-of-sample forecasts of various combinations of realized variance models and estimation criteria. Our empirical findings highlight that: independently of the econometrician’s forecasting loss function, certain estimation criteria perform significantly better than others; the simple ARMA modeling of the log realized variance generates superior forecasts than the HAR family, for any of the forecasting loss functions considered; the (2,1) parameterizations with negative lag-2 coefficient emerge as the benchmark specifications generating the best forecasts and approximating long-run dependence as well as the HAR family.
- Referente
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Roberto
Reno'
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Referente esterno
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- Data pubblicazione
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4 luglio 2019
