MIDAS volatility forecast performance under market stress: Evidence from emerging stock markets
Economics Letters, cilt.117, sa.2, ss.528-532, 2012 (SSCI, Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 117 Sayı: 2
- Basım Tarihi: 2012
- Doi Numarası: 10.1016/j.econlet.2012.05.037
- Dergi Adı: Economics Letters
- Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
- Sayfa Sayıları: ss.528-532
- Anahtar Kelimeler: Mixed Data Sampling regression model, Conditional volatility forecasting, Emerging markets
- Boğaziçi Üniversitesi Adresli: Evet
Özet
This paper evaluates weekly out-of-sample volatility forecast performance of univariate Mixed Data Sampling (MIDAS) model compared to the benchmark model of GARCH(1,1) for ten emerging stock markets. The results show that the MIDAS model offers a statistically better forecasting precision during the recent financially turbulent era, based on the test suggested by West (2006). For the tranquil period, however, the MIDAS model cannot produce a statistically better weekly volatility forecast. © 2012 Elsevier B.V.