Peter Molnár publikoval článek v International Journal of Forecasting

Peter Molnár se podílel na článku na téma Stock market volatility forecasting: Do we need high-frequency data?, který byl publikován ve 3. čísle International Journal of Forecasting v roce 2021.

International Journal of Forecasting je časopis vydávaný společností Elsevier a je indexován ve Web of Science v prvním kvartilu (druhý decil) v oboru 5.2 Economics and Business dle Fordu.

Spoluautory článku jsou: Štefan Lyócsa a Tomáš Výrost

Abstrakt: The general consensus in the volatility forecasting literature is that high-frequency volatility models outperform low-frequency volatility models. However, such a conclusion is reached when low-frequency volatility models are estimated from daily returns. Instead, we study this question considering daily, low-frequency volatility estimators based on open, high, low, and close daily prices. Our data sample consists of 18 stock market indices. We find that high-frequency volatility models tend to outperform low-frequency volatility models only for short-term forecasts. As the forecast horizon increases (up to one month), the difference in forecast accuracy becomes statistically indistinguishable for most market indices. To evaluate the practical implications of our results, we study a simple asset allocation problem. The results reveal that asset allocation based on high-frequency volatility model forecasts does not outperform asset allocation based on low-frequency volatility model forecasts.

Odkaz na článek: https://www.sciencedirect.com/science/article/abs/pii/S0169207020301874