Daily volatility forecasts: reassessing the performance of GARCH models

Volatility plays a key role in asset and portfolio management and derivatives pricing. As such, accurate measures and good forecasts of volatility are crucial for the implementation and evaluation of asset and derivative pricing models in addition to trading and hedging strategies. However, whilst GARCH models are able to capture the observed clustering effect in asset price volatility in‐sample, they appear to provide relatively poor out‐of‐sample forecasts. Recent research has suggested that this relative failure of GARCH models arises not from a failure of the model but a failure to specify correctly the ‘true volatility’ measure against which forecasting performance is measured. It is argued that the standard approach of using ex post daily squared returns as the measure of ‘true volatility’ includes a large noisy component. An alternative measure for ‘true volatility’ has therefore been suggested, based upon the cumulative squared returns from intra‐day data. This paper implements that technique and reports that, in a dataset of 17 daily exchange rate series, the GARCH model outperforms smoothing and moving average techniques which have been previously identified as providing superior volatility forecasts. Copyright © 2004 John Wiley & Sons, Ltd.     

使蛋白质特性和结构散发光芒的三重奖诺贝尔化学奖纵横光谱

继基因革命而来的时髦新词是蛋白质学(PRO-TEOMICS)——研究从活细胞产生的蛋白质的多样性的学说。今年的诺贝尔化学奖颁发给三位研究人员——他们研制出了用于分析蛋白质的二项关键工具。     

Disassociation of oogonia formation from oospore production inPhytophthora cactorum by sterols with varying side chain lengths

Cellular and Molecular Life Sciences - A series of 20(R)-n-alkylpregn-5-en-3β-ols with 0 to 9 (but not with 12) C-atoms in the alkyl group induced formation of oogonia inPhytophthora cactorum....     

Octopamine levels during the moult cycle and adult development in the migratory locust,Locusta migratoria

Summary Octopamine content of the head of the locustLocusta migratoria has been determined during the last larval stage, moulting and adult life of 3 groups of insects: female and male gregarious, solitary and CO₂ solitarized. An important difference was found between these 3 groups. Octopamine contents increased in the middle of the larval life and during the adult life. The moulting time is characterized by a sharp decrease of the octopamine content which becomes identical in the 3 groups of insects. The relation between octopamine content, hormone cycles and motility is discussed.