Journalartikel

Jahr der Veröffentlichung: 2016

Seiten: 113-146

Zeitschrift: Journal of Forecasting

Bandnummer: 35

Heftnummer: 2

ISSN: 0277-6693

eISSN: 1099-131X

DOI Link: https://doi.org/10.1002/for.2371

Verlag: Wiley

Abstract: 

We study the performance of recently developed linear regression models for interval data when it comes to forecasting the uncertainty surrounding future stock returns. These interval data models use easy-to-compute daily return intervals during the modeling, estimation and forecasting stage. They have to stand up to comparable point-data models of the well-known capital asset pricing model typewhich employ single daily returns based on successive closing prices and might allow for GARCH effectsin a comprehensive out-of-sample forecasting competition. The latter comprises roughly 1000 daily observations on all 30 stocks that constitute the DAX, Germany's main stock index, for a period covering both the calm market phase before and the more turbulent times during the recent financial crisis. The interval data models clearly outperform simple random walk benchmarks as well as the point-data competitors in the great majority of cases. This result does not only hold when one-day-ahead forecasts of the conditional variance are considered, but is even more evident when the focus is on forecasting the width or the exact location of the next day's return interval. Regression models based on interval arithmetic thus prove to be a promising alternative to established point-data volatility forecasting tools.

Harvard-Zitierstil: Fischer, H., Blanco-Fernández, A. and Winker, P. (2016) Predicting Stock Return Volatility: Can We Benefit from Regression Models for Return Intervals?, Journal of Forecasting, 35(2), pp. 113-146. https://doi.org/10.1002/for.2371

APA-Zitierstil: Fischer, H., Blanco-Fernández, A., & Winker, P. (2016). Predicting Stock Return Volatility: Can We Benefit from Regression Models for Return Intervals?. Journal of Forecasting. 35(2), 113-146. https://doi.org/10.1002/for.2371