The DOI matches its OpenAlex record; 109 of the 109 references it cites were found in a registry or an index.
Forecasting Volatility in Financial Markets: A Review
Abstract
Financial market volatility is an important input for investment, option pricing, and financial market regulation. The emphasis of this review article is on forecasting instead of modelling; it compares the volatility forecasting findings in 93 papers published and written in the last two decades. Provided in this paper as well are volatility definitions, insights into problematic issues of forecast evaluation, data frequency, extreme values and the measurement of "actual" volatility. We compare volatility forecasting performance of two main approaches; historical volatility models and volatility implied from options. Forecasting results are compared across different asset classes and geographical regions.
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Citations
Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Generalized autoregressive conditional heteroskedasticity
Bollerslev, T. (1986) · Journal of Econometrics · doi:10.1016/0304-4076(86)90063-1 · Cited by 22,254
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Conditional Heteroskedasticity in Asset Returns: A New Approach
Nelson, D. B. (1991) · Econometrica · doi:10.2307/2938260 · Cited by 10,236
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
Hamilton, J. D. (1989) · Econometrica · doi:10.2307/1912559 · Cited by 9,646
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
GLOSTEN, L. R., JAGANNATHAN, R., & RUNKLE, D. E. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb05128.x · Cited by 9,008
Heston, S. L. (1993) · Review of Financial Studies · doi:10.1093/rfs/6.2.327 · Cited by 8,762
Brownian Motion and Stochastic Calculus
(2007) · Springer Finance · doi:10.1007/978-1-84628-696-4_13 · Cited by 7,422
Diebold, F., & Mariano, R. (1994) · National Bureau of Economic Research · doi:10.3386/t0169 · Cited by 5,185
Bollerslev, T., Chou, R. Y., & Kroner, K. F. (1992) · Journal of Econometrics · doi:10.1016/0304-4076(92)90064-x · Cited by 4,270
Cited by
A forecast comparison of volatility models: does anything beat a GARCH(1,1)?
Hansen, P. R., & Lunde, A. (2005) · Journal of Applied Econometrics · doi:10.1002/jae.800 · Cited by 1,773
Financial time series forecasting model based on CEEMDAN and LSTM
Cao, J., Li, Z., & Li, J. (2019) · Physica A: Statistical Mechanics and its Applications · doi:10.1016/j.physa.2018.11.061 · Cited by 710
Value-at-Risk Prediction: A Comparison of Alternative Strategies
Kuester, K. (2005) · Journal of Financial Econometrics · doi:10.1093/jjfinec/nbj002 · Cited by 632
Forecasting carbon futures volatility using GARCH models with energy volatilities
Byun, S. J., & Cho, H. (2013) · Energy Economics · doi:10.1016/j.eneco.2013.06.017 · Cited by 344
Forecasting and operational research: a review
Fildes, R., Nikolopoulos, K., Crone, S. F., & Syntetos, A. A. (2008) · Journal of the Operational Research Society · doi:10.1057/palgrave.jors.2602597 · Cited by 287
Metadata
- Authors
- Poon, S., & Granger, C. W. J.
- Venue
- Journal of Economic Literature
- Publisher
- American Economic Association
- Published
- 2003-06-01
- Volume
- 41
- Issue
- 2
- Pages
- 478-539
- ISSN
- 0022-0515 (ISSN-L)
- OpenAlex
- W2118854883
- Cited by
- 1,315
- References
- 109
- FWCI
- 75.63
- Type
- journal article
- Language
- en
- Open access
- closed
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Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
