Volatility Forecasting with the Multifractal Model of Asset Returns
Author | : Terrence Y. Zhang |
Publisher | : |
Total Pages | : 24 |
Release | : 2017 |
ISBN-10 | : OCLC:1305313594 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Volatility Forecasting with the Multifractal Model of Asset Returns written by Terrence Y. Zhang and published by . This book was released on 2017 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents an empirical application of the Multifractal Model of Asset Returns (MMAR) to intraday stock prices, with a goal of generating accurate volatility forecasts. Intraday stock volatility exhibits long tails, persistence, and strong evidence of moment scaling. This allows us to apply the MMAR. A forecasting method for the MMAR is implemented through Monte Carlo simulation, and this forecasting method is compared to Generalized Autoregressive Conditional Heteroskedasticity (GARCH) alternatives over several testing samples. The MMAR significantly outperformed the GARCH models. This suggests that the framework of multifractality has a large potential for further development and application within finance.