Article in Journal ()
Kambouroudis DS & McMillan D (2015) Is there an ideal in-sample length for forecasting volatility?, Journal of International Financial Markets, Institutions and Money, 37, pp. 114-137.
There is limited research carried out to date in the academic literature addressing the issue of the ideal in-sample size when forecasting volatility. This paper therefore considers how much data is required in order to produce accurate forecasts. Broadly speaking, two views exist between practitioners/investors who typically prefer a small in-sample to minimise data holding requirements and researchers/academics who typically chose large in-sample periods. Using a process of expanding window regressions where the in-sample start period expands (backward recursion) we conduct forecasts over twenty-three international markets, including both developed and emerging. Our findings, which demonstrate a degree of homogeneity, show that for the majority of the markets large in-sample periods are not necessary in order to produce the most accurate forecasts supporting the practitioners’/investors’ view.
Forecasting; In-sample; Stock market; Volatility
|Authors||Kambouroudis Dimos S, McMillan David|
|Publication date online||04/03/2015|
|Date accepted by journal||24/02/2015|
Journal of International Financial Markets, Institutions and Money: Volume 37