Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions

  • Giovanni De Luca Universita degli Studi di Napoli "Parthenope"
  • Giampiero M. Gallo Università degli Studi di Firenze
  • Danilo Carità Università degli Studi di Napoli "Parthenope"


In this work we provide the findings of a forecast combination analysis carried out on the realized volatility series of three market indexes (DAX, CAC, and AEX). Two volatility types (5 minutes, kernel) have been considered. Different loss functions suggest that forecasts computed through combining models are generally more accurate than those provided by single models. However, the choice of the latter can significantly affect the goodness of the results.

Author Biography

Danilo Carità, Università degli Studi di Napoli "Parthenope"
Ph.D. student, <span>Department of Management and Quantitative Studies</span>


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How to Cite
De Luca, G., Gallo, G., & Carità, D. (2018). Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions. Econometric Research in Finance, 2(2), 99 - 111. https://doi.org/10.33119/ERFIN.2017.2.2.3