| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w6844 |
| 来源ID | Working Paper 6844 |
| How Relevant is Volatility Forecasting for Financial Risk Management? | |
| Peter F. Christoffersen; Francis X. Diebold | |
| 发表日期 | 1998-12-01 |
| 出版年 | 1998 |
| 语种 | 英语 |
| 摘要 | It depends. If volatility fluctuates in a forecastable way, then volatility forecasts are useful for risk management; hence the interest in volatility forecastability in the risk management literature. Volatility forecastability, however, varies with horizon, and different horizons are relevant in different applications. Moreover, existing assessments of volatility forecastability are plagued by the fact that they are joint assessments of volatility forecastability and an assumed model, and the results vary not only with the horizon, but also with the assumed model. To address this problem, we develop a model-free procedure for assessing volatility forecastability across horizons. Perhaps surprisingly, we find that volatility forecastability decays quickly with horizon. Volatility forecastability, although clearly of relevance for risk management at the short horizons relevant for, say, trading desk management, may not be important for risk management more generally. |
| 主题 | Financial Economics ; Financial Markets ; Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/w6844 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/564354 |
| 推荐引用方式 GB/T 7714 | Peter F. Christoffersen,Francis X. Diebold. How Relevant is Volatility Forecasting for Financial Risk Management?. 1998. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w6844.pdf（681KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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