|Appears in Collections:||Accounting and Finance Journal Articles|
|Peer Review Status:||Refereed|
|Title:||Is there an ideal in-sample length for forecasting volatility?|
|Author(s):||Kambouroudis, Dimos S|
McMillan, David G
|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. https://doi.org/10.1016/j.intfin.2015.02.006.|
|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.|
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