In this work we refine a nonparametric methodology firstly applied in Christoffersen and Diebold [Review of Economics and Statistics 82 (2000) 12] for assessing volatility forecastability in financial time series based on discretization and on the use of runs tests. Empirical results are provided for SP500 and MIB30 indexes that lead naturally to a discretized one-period Markov chain. The results are confirmed with other persistence measures and their robustness is studied via numerical simulation

Runs test for assessing volatility forecastability in financial time series

FIGA' TALAMANCA, GIANNA
2005

Abstract

In this work we refine a nonparametric methodology firstly applied in Christoffersen and Diebold [Review of Economics and Statistics 82 (2000) 12] for assessing volatility forecastability in financial time series based on discretization and on the use of runs tests. Empirical results are provided for SP500 and MIB30 indexes that lead naturally to a discretized one-period Markov chain. The results are confirmed with other persistence measures and their robustness is studied via numerical simulation
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11391/22701
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