Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/22659
Appears in Collections:Accounting and Finance Journal Articles
Peer Review Status: Refereed
Title: Is there an ideal in-sample length for forecasting volatility?
Authors: Kambouroudis, Dimos S
McMillan, David
Contact Email: d.s.kambouroudis@stir.ac.uk
Keywords: Forecasting
In-sample
Stock market
Volatility
Issue Date: Jul-2015
Publisher: Elsevier
Citation: Kambouroudis DS & McMillan D (2015) Is there an ideal in-sample length for forecasting volatility?, Journal of International Financial Markets, Institutions and Money, 37, pp. 114-137.
Abstract: There is limited research carried out to date in the academic literature addressing the issue of the ideal in-sample size when forecasting volatility. This paper therefore considers how much data is required in order to produce accurate forecasts. Broadly speaking, two views exist between practitioners/investors who typically prefer a small in-sample to minimise data holding requirements and researchers/academics who typically chose large in-sample periods. Using a process of expanding window regressions where the in-sample start period expands (backward recursion) we conduct forecasts over twenty-three international markets, including both developed and emerging. Our findings, which demonstrate a degree of homogeneity, show that for the majority of the markets large in-sample periods are not necessary in order to produce the most accurate forecasts supporting the practitioners’/investors’ view.
Type: Journal Article
URI: http://hdl.handle.net/1893/22659
DOI Link: http://dx.doi.org/10.1016/j.intfin.2015.02.006
Rights: The publisher does not allow this work to be made publicly available in this Repository. Please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study.
Affiliation: Accounting and Finance
Accounting and Finance

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