The Forecasting Ability of GARCH Models for the 2003–07 Crisis: Evidence from S&P500 Index Volatility

dc.contributor.author	Mahreen Mahmud
dc.date.accessioned	2014-08-20T06:53:07Z
dc.date.available	2014-08-20T06:53:07Z
dc.date.issued	2012-06
dc.identifier.citation	The Lahore Journal of Business, Vol. 01, No. 1	en_US
dc.identifier.issn	ISSN 2223-0025
dc.identifier.uri	http://www.lahoreschoolofeconomics.edu.pk/businessjournals/LJBv1no1.aspx
dc.identifier.uri	http://hdl.handle.net/123456789/6154
dc.description	PP.22, ill.	en_US
dc.description.abstract	This article studies the ability of the GARCH family of models to accurately forecast the volatility of S&P500 stock index returns across the financial crisis that affected markets in 2003–07. We find the GJR-GARCH (1,1) model to be superior in its ability to forecast the volatility of the initial crisis period (2003–06) compared to its realized volatility, which acts as a proxy for the actual. This model is then extended to make forecasts for the crisis period. We conclude that the model’s ability to forecast volatility across the crisis is not substantially affected, thus supporting the use of the GARCH family of models in forecasting volatility.	en_US
dc.language.iso	en	en_US
dc.publisher	© Lahore School of Economics	en_US
dc.subject	Forecasting	en_US
dc.subject	Volatility clustering	en_US
dc.subject	Financial crisis	en_US
dc.title	The Forecasting Ability of GARCH Models for the 2003–07 Crisis: Evidence from S&P500 Index Volatility	en_US
dc.type	Article	en_US