Compare volatility forecasts fairly

Medium+25 pointsAbout 45 minutesRisk

UsesEconometrics 1.12 Forecast evaluation and VaR backtesting Econometrics 1.8 GARCH

Coming soon

Rank EWMA, GARCH and historical forecasts with loss functions that are robust to noisy volatility proxies.

This problem opens with Financial Econometrics. It draws on the modules below.

Econometrics 1.12 Forecast evaluation and VaR backtesting (coming soon)
Econometrics 1.8 GARCH (coming soon)