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
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ISBN
978-83-7525-756-4