Title: Forecasting directional volatility in the US market
Authors: Eirini Bersimi - University of Kent (United Kingdom) [presenting]
Abstract: The aim is to assess the performance of the combination of forecasts for future volatility using measures of directional accuracy (DA) and direction forecast value (DV). Diverse alternative forecast combinations are considered: i) a hierarchical encompassing-MSE procedure; ii) a weighted average forecast method for directional change; iii) two schemes based on DA. An empirical application for the forecasts of daily return volatility for the US and the UK stock markets is carried out.