Linear Combinations of Volatility Forecasts for the WIG20 and Polish Exchange Rates

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Date

2012

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Publisher

Wydawnictwo Uniwersytetu Łódzkiego

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Abstract

As is known forecast combinations may be better forecasts then forecasts obtained with single models. The purpose of the research is to check if linear combination of forecasts from models for of the WIG20 Index and different currency exchange rates is a good solution when searching for the best forecasts. We check if the forecasting models are highly correlated with response variable and poorly correlated with each other so if they fulfill the Hellwig assumptions

Description

C52, C53

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Keywords

volatility, forecasts, linear regression, MCS

Citation

Buszkowska, E., Linear Combinations of Volatility Forecasts for the WIG20 and Polish Exchange Rates , Proceedings of International Conference Macromodels 2011, Modelling Economies in Transition, Łódź 2012

ISBN

978-83-7525-756-4

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Rights Creative Commons

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Uniwersytet im. Adama Mickiewicza w Poznaniu
Biblioteka Uniwersytetu im. Adama Mickiewicza w Poznaniu
Ministerstwo Nauki i Szkolnictwa Wyższego