Volatility forecasting: intra-day versus inter-day models

Stavros Degiannakis, T. Angelidis

    Research output: Contribution to journalArticlepeer-review


    Volatility prediction is the key variable in forecasting the prices of options, value-at-risk and, in general, the risk that investors face. By estimating not only inter-day volatility models that capture the main characteristics of asset returns, but also intra-day models, we were able to investigate their forecasting performance for three European equity indices. A consistent relation is shown between the examined models and the specific purpose of volatility forecasts. Although researchers cannot apply one model for all forecasting purposes, evidence in favor of models that are based on inter-day datasets when their criteria based on daily frequency, such as value-at-risk and forecasts of option prices, are provided.
    Original languageEnglish
    Pages (from-to)449-465
    Number of pages17
    JournalJournal of International Financial Markets, Institutions and Money
    Issue number5
    Publication statusPublished - Dec 2008


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