Porównanie zdolności prognostycznej modeli zmienności indeksu WIG20 za pomocą testu SPA

Abstract

The test of Superior Predictive Ability allows to test weather a partivular forecasting procedure is outperformed by alternative forecasing models. The SPA test is useful in investigating wether any alternative forecasting model is better then the benchmark. The purpose of this paper is to use SPA method to determine whether the volatility forecasts from some selected simple volatility models fitted to WIG20 are outperformed by those from more sophistcated ones. Morover, we check the impect of different factors on the results of the test.