Forecasting Volatility in the New Zealand Stock Market

ResearchSpace/Manakin Repository

Show simple item record Yu, Jun en 2006-11-30T20:53:32Z en 2006-11-30T20:53:32Z en 1999 en
dc.identifier.citation Department of Economics Working Paper Series 202 en
dc.identifier.uri en
dc.description.abstract This paper evaluates the performance of nine alternative models for predicting stock price volatility using daily New Zealand data. The competing models contain both simple models such as the random walk and smoothing models and complex models such as ARCH-type models and a stochastic volatility model. Four different measures are used to evaluate the forecasting accuracy. The main results are the following: 1) the stochastic volatility model provides the best performance among all the candidates. 2) ARCH-type models can perform well or badly depending on the form chosen; the performance of the GARCH(3,2) model, the best model within the ARCH family, is sensitive to the choice of assessment measures. 3) the regression and exponentially weighted moving average models do not perform well according to any assessment measure, in contrast to the results found in various markets. en
dc.format.extent application/pdf en
dc.format.mimetype text en
dc.language.iso en en
dc.publisher ResearchSpace@Auckland en
dc.relation.ispartofseries Department of Economics Working Paper Series (1997-2006) en
dc.rights Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher. en
dc.rights.uri en
dc.subject.other Forecasting en
dc.subject.other Economics en
dc.title Forecasting Volatility in the New Zealand Stock Market en
dc.type Working Paper en
dc.rights.holder Copyright: the author en
dc.rights.accessrights en Economics en

Full text options

Find Full text

This item appears in the following Collection(s)

Show simple item record


Search ResearchSpace

Advanced Search