Saturday, September 15, 2007

Paper on forecasting nifty volatility

Vipul and Joshy Jacob of IIM Lucknow have done a paper Forecasting performance of extreme-value volatility estimators in Jnl Futures Markets. As far as I can tell, there is no freely accessible PDF file of this article on the web. The abstract reads: This study evaluates the forecasting performance of extreme-value volatility estimators for the equity-based Nifty Index using two-scale realized volatility. This benchmark mitigates the effect of microstructure noise in the realized volatility. Extreme-value estimates with relatively simple forecasting methods provide substantially better short-term and long-term forecasts, compared to historical volatility. The higher efficiency of extreme-value estimators is primarily responsible for this improvement. The extent of possible improvement in forecasts is likely to be economically significant for applications like options pricing. By including extreme value estimators, the forecasting performance of generalized autoregressive conditional heteroscedasticity (GARCH) can also be improved.

2 comments:

  1. I have not seen this paper. It seems interesting paper. I think it might be based on Parkinson's methodology based on high and low price.

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  2. This is a common problem with respect to research papers done by Indian academicians. Firstly, you do not know what research is done, secondly, the research quality isn't good at all, thirdly, if you manage the first two somehow, you cannot find them online. As a result all remains unknown.

    We badly need a website on lines of SSRN providing links to all research papers done by Indian academicians.

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