Economics, Econometrics and Finance
4 years ago

New method predicts market volatility better, potentially improving financial forecasts.

SSRN Electronic Journal
Out of Sample Forecasts of Quadratic Variation
Yacine Aı̈t-Sahalia, Loriano Mancini

Paper Summary

The study compared two methods for predicting Quadratic Variation in stock market data. They found that TSRV is more accurate than RV in forecasting future volatility. This was confirmed by analyzing data from all DJIA stocks.

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