How Relevant is Volatility Forecasting for Financial Risk Management ?

@inproceedings{Christoffersen1997HowRI,
  title={How Relevant is Volatility Forecasting for Financial Risk Management ?},
  author={Peter F. Christoffersen and Francis X. Diebold},
  year={1997}
}
It depends. If volatility fluctuates in a forecastable way, volatility forecasts are useful for risk management (hence the interest in volatility forecastability in the risk management literature). Volatility forecastability, however, varies with horizon, and different horizons are relevant in different applications. Moreover, existing assessments of volatility forecastability are plagued by the fact that they are joint assessments of volatility forecastability and an assumed model, and the… CONTINUE READING
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