Volatility Forecast Comparison Using Imperfect Volatility Proxies

By Patton Andrew J.
Journal of Econometrics (2011)

  • Andrew J. Patton

    Duke University

    USA

Created

September 23, 2013

Last update

June 20, 2016

Software

Matlab

Ranking

15

Visits

5246

Downloads

710

Description

This code compares volatility forecasts from two models (A and B). It produces the t-statistics from Diebold–Mariano–West tests of equal predictive accuracy. The null is expressed as follows H0: Loss(model A) - Loss(model B) = 0. The sign of the t-statistics indicates which forecast performs better for each loss function: a positive t-statistic indicates that model A forecast produces larger average loss than the model B forecast, while a negative sign indicates the opposite. The statistics are displayed for various values of the scale parameter b of the loss function (equation 24, page 252), chosen by the user. The cases b = 0 and b = −2 correspond to the MSE and QLIKE loss functions, respectively.

Too Much of a Good Thing?

International Journal of Research in Marketing (2019)

Gaustad Tarje, M. Bendik, Warlop Luk, and Fitzsimons Gavan J.

Evaluating marketplace synergies of ingredient brand alliances

International Journal of Research in Marketing (2018)

Bowman Douglas

Smart Systemic-Risk Scores

Working Paper (2018)

Benoit Sylvain

Shaping Consumer Preference Using Alignable Attributes: The Roles of Regulatory Orientation and Construal Level

International Journal of Research in Marketing (2018)

Sun Jin, Keh Hean Tat, and Lee Angela Y.

Backtesting Expected Shortfall via Multi-Quantile Regression

Working Paper (2018)

Couperier Ophélie and Leymarie Jérémy

Wealth Distribution with Random Discount Factors

Journal of Monetary Economics (2018)

Toda Alexis Akira

2018-09-07

Matlab

810

167

100

Targeting Online Display Ads: Choosing Their Frequency and Spacing

International Journal of Research in Marketing (2018)

Försch Steffen and de Haan Evert

Financial distress, refinancing, and debt structure

Journal of Banking and Finance (2018)

Yin Qie and Dudley Evan

On the Monetary Impact of Fashion Design Piracy

International Journal of Research in Marketing (2018)

Appel Gil, Libai Barak, and Muller Eitan

0 comment

Add comment

You need to log in to post a comment.