New forecasting method improves accuracy of Australian stock market predictions.
The article evaluates different ways to predict how volatile the Australian stock market will be. By using very detailed data, the researchers created a more accurate way to measure volatility after the fact. They tested various forecasting methods and found that models that consider the shape of the data and use longer time periods are more accurate. The APARCH model was the best at predicting volatility, especially during turbulent times in the market.