Chapter 19: Risk Management
Forecast Evaluation with Noisy Volatility Proxies intermediate
You cannot observe true volatility, so every forecast evaluation is really a comparison against a noisy proxy — and the wrong loss function will rank models incorrectly.
You cannot observe true volatility, so every forecast evaluation is really a comparison against a noisy proxy — and the wrong loss function will rank models incorrectly.
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References
Volatility forecast comparison using imperfect volatility proxies
Andrew J. Patton
(2011)
— Journal of Econometrics
Toward Regime-Aware Risk Forecasts
Kevin Khang
(2022)
— The Journal of Portfolio Management
Time-Series Techniques: Estimating Volatility
Stephen Marra
(2023)
— The Journal of Portfolio Management