Forecast volatility

Quote from segv:

I have spent the last 10 years working on that problem, so my current best answer is not something that I am likely to share. I will however point you towards the work of Torben G. Andersen, Tim Bollerslev, Francis Diebold, Paul Labys, which has spawned a lot of productive research over the last 6 years. Ser-Huang Poon's book, "Forecasting Volatility in Financial Markets: A Practical Guide", provides a good introduction to the research. I also would recommend Steven Taylor's excellent book "Asset Price Dynamics, Volatility, and Prediction".
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Anyone would have got any comments on these books?
 
Quote from Gustaf:

How do you predict the underlying instrument volatility lets say one month ahead.
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Rob Engle's site at NYU Stern publishes daily index vol forecasts.

They're pretty good, considering.

Straight GARCH for one-month ahead vol. E- or T-GARCH for instantaneous (one-day ahead) vol, and zero-slope Spline GARCH for best fraction same sign close-to-close VXX moves.


http://vlab.stern.nyu.edu//users/login

username: demo@example.com
password: pass
 
Thanks for very interesting stuff:

http://vlab.stern.nyu.edu/
"Rob Engle's Volatility Laboratory

The Volatility Laboratory provides real time measurement, modeling and forecasting of financial volatility and correlations for a wide spectrum of assets. Vlab blends together both classic models as well as some of the latest advances proposed in the financial econometrics literature. The aim of the project is to provide real time evidence on market dynamics for both researchers and practitioners.

The Vlab is currently running 303 analyses on 85 datasets producing a total of 967 series each day!

An Introduction to Financial Volatility: Prof. Rob Engle's video lectures on the Financial Times "
 
Quote from erol:

thanks for bumping this, i made a post in the education section b/c i wanted to learn how to forecast vol
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FORECASTING OIL PRICE VOLATILITY
http://scholar.lib.vt.edu/theses/available/etd-5398-184344/unrestricted/etd.pdf


http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.10.6173
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Conditional Heteroskedasticity in Asset Returns: A – Nelson - 1991

Modeling heteroscedasticity in daily foreign-exchange rates – Hsieh - 1989

Forecasting Volatility and Correlations with EGARCH Models – Cumby, Figlewski, et al. - 1993

Adjusting to Volatile Energy Prices – Verleger - 1993

Volatility and Correlation Forecasting. In: The Handbook of Risk Management and Analysis, edited by C – Alexander - 1996

Modeling in Finance: A Review of the Theory and Empirical Evidence – “ARCH - 1992

Volatility in Energy Prices”, Managing Energy Price Risk – Duffie, Gray - 1995

Forecasting Risks and Correlations”, Value At Risk - The New Benchmark for Controlling – Jorion - 1997

Black Scholes and Beyond – Chriss - 1997

forecasting and comparing monthly volatility: A comprehensive study”, RiskMetrics Monitor, Fourth Quarter – “Modeling - 1995

Modeling Economic Time Series: Trends and Volatility”, Applied Econometric Time Series – Enders - 1995

Conditional Volatility and Informational Efficiency of the PHLX – Xu, Taylor - 1996

Modeling Stock Market Volatility Changes”, Modeling Stock Market Volatility, (ed P.E – Nelson - 1996

Volatility Prediction : A Comparison of the Stochastic Volatility – Heynen, Kat

UQ
 
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