Volatility forecasting for risk management

  title={Volatility forecasting for risk management},
  author={Chris Brooks and Gitanjali Persand},
  journal={Journal of Forecasting},
Recent research has suggested that forecast evaluation on the basis of standard statistical loss functions could prefer models which are sub-optimal when used in a practical setting. This paper explores a number of statistical models for predicting the daily volatility of several key UK financial time series. The out-of-sample forecasting performance of various linear and GARCH-type models of volatility are compared with forecasts derived from a multivariate approach. The forecasts are… 

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