Application of an EWMA Combining Technique to the Prediction of Stock Market Volatility

@article{Jingrong2007ApplicationOA,
  title={Application of an EWMA Combining Technique to the Prediction of Stock Market Volatility},
  author={Dong Jing-rong},
  journal={2007 International Conference on Management Science and Engineering},
  year={2007},
  pages={1844-1848}
}
  • Dong Jing-rong
  • Published 2007 in
    2007 International Conference on Management…
Forecasting stock market volatility is an important and challenging task for both academic researchers and business practitioners. The recent trend to improve the prediction accuracy is to combine individual forecasts using a simple average or weighted average where the weight reflects the inverse of the prediction error In the existing combining methods, however, the errors between actual and predicted values are equally reflected in the weights regardless of the time order in a forecasting… CONTINUE READING