A nonparametric approach to forecasting realized volatility

  • Adam Clements Ralf Becker Working Paper
  • Published 2009

Abstract

A well developed literature exists in relation to modeling and forecasting asset return volatility. Much of this relate to the development of time series models of volatility. This paper proposes an alternative method for forecasting volatility that does not involve such a model. Under this approach a forecast is a weighted average of historical volatility… (More)

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