Forecasting Fed Cattle, Feeder Cattle, and Corn Cash Price Volatility: The Accuracy of Time Series, Implied Volatility, and Composite Approaches
Опубликовано на портале: 21-11-2003
Journal of Accounting Research.
2001.
Vol. 33.
No. 3.
Тематический раздел:
Economists and others need estimates of future cash price volatility to use in risk
management evaluation and education programs. This paper evaluates the performance
of alternative volatility forecasts for fed cattle, feeder cattle, and corn cash
price returns. Forecasts include time series (e.g. GARCH), implied volatility from
options on future contracts, and composite specifications. The overriding finding
from this research, consistent with the existing volatility forecasting literature
is that no single method of volatility forecasting provides superior accuracy across
alternative data sets and horizons. However, evidence is provided suggesting that
risk managers and extension educators use composite methods when both time series
and implied volatilities are available.
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