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Forecasting volatility in Canadian markets

Title:

Forecasting volatility in Canadian markets

Discepola, Domenico (2001) Forecasting volatility in Canadian markets. Masters thesis, Concordia University.

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Abstract

This study applies the methodology of Guan and Ederington (1998) to Canadian data. Historical volatility is estimated then forecast to examine the comparative performance of various time series models in forecasting volatility. Statistically significant regressions were provided that showed that forecasts of volatility produced low forecast errors, comparable to those found in Guan and Ederington. These errors, reported as the Root Mean Squared Forecast Error (RMSFE), were calculated using in-sample and out-of-sample data. Both static and dynamic forecasts were used. Static forecasts of volatility consistently produced lower forecast errors than dynamic forecasts.

Divisions:Concordia University > John Molson School of Business
Item Type:Thesis (Masters)
Authors:Discepola, Domenico
Pagination:viii, 54 leaves : ill. ; 29 cm.
Institution:Concordia University
Degree Name:Theses (M.Sc.Admin.)
Program:John Molson School of Business
Date:2001
Thesis Supervisor(s):Shanker, Latha
ID Code:1488
Deposited By:Concordia University Libraries
Deposited On:27 Aug 2009 13:19
Last Modified:08 Dec 2010 10:20
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