TD n. 568 2010

Michael McAller, Marcelo Medeiros.

http://dx.doi.org/10.1111/j.1467-6419.2010.00640.x

In this paper we consider a nonlinear model based on neural networks as well as linear models to forecast the daily volatility of the S&P 500 and FTSE 100 indexes. As a proxy for daily volatility, we consider a consistent and unbiased estimator of the integrated volatility that is computed from high frequency intra-day returns. We also consider a simple algorithm based on bagging (bootstrap aggregation) in order to specify the models analyzed in this paper

 

 Publicado em Journal of Economic Surveys, 25, 6-18,2011