CIRJE-F-686 | "Forecasting Realized Volatility with Linear and Nonlinear Models" |
Author Name | McAleer, Michael and Marcelo C. Medeiros |
Date | October 2009 |
Full Paper | PDF file |
Remarks | Subsequently published in Journal of Economic Surveys. |
Abstract |
In this paper we consider a nonlinear model based on neural networks as well as linear models to forecast the daily volatility of the S&P 500 and FTSE 100 indexes. As a proxy for daily volatility, we consider a consistent and unbiased estimator of the integrated volatility that is computed from high frequency intra-day returns. We also consider a simple algorithm based on bagging (bootstrap aggregation) in order to specify the models analyzed in the paper. |