Forecasting Volatility in Financial Markets: A Review (Revised Edition)
Forecasting Volatility in Financial Markets: A Review (Revised Edition)
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预测金融市场的波动性：回顾（修订版）
DOI：
10.2139/ssrn.331800
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发表时间：
2002
期刊：
影响因子：
--
通讯作者：
S. Poon
中科院分区：
文献类型：
--
作者：
C. Granger;S. Poon
金融市场波动性是投资、期权定价和金融市场监管的重要输入。在这篇综述文章中，我们比较了过去20年发表和撰写的93篇论文中的波动性预测结果。这篇文章是为经济学的普通读者写的，它的重点是预测而不是建模。我们将文献分成两大主流；第一类是仅根据历史价格信息制定波动率预测的研究论文，第二类是利用期权价格隐含波动率进行预测的研究论文。本文还提供了波动率的定义，对预测评估中存在的问题的见解，数据频率对波动率预测精度的影响，“实际”波动率的测量，以及极值对波动率预测性能的混淆影响。我们比较不同资产类别和不同地理区域的市场的波动性预测结果。对今后的研究提出了建议。
Financial market volatility is an important input for investment, option pricing and financial market regulation. In this review article, we compare the volatility forecasting findings in 93 papers published and written in the last two decades. This article is written for general readers in Economics, and its emphasis is on forecasting instead of modelling. We separate the literature into two main streams; the first consists of research papers that formulate volatility forecasts based on historical price information only, while the second includes research papers that make use of volatility implied in option prices. Provided in this paper as well are volatility definitions, insights into problematic issues of forecast evaluation, the effect of data frequency on volatility forecast accuracy, measurement of "actual" volatility, and the confounding effect of extreme values on volatility forecasting performance. We compare volatility forecasting results across different asset classes, and markets in different geographical regions. Suggestions are made for future research.
影响因子：
1.5
作者：
Andersen, TG;Bollerslev, T
通讯作者：
Bollerslev, T