Calculate the losses associated with volatility (standard deviation) forecasts
1 |
realized |
a vector with some realized volatility measure |
evaluated |
a vector or a matrix of volatility forecasts |
which |
The loss function to use. possible choices are: |
A matrix with the forecast losses
Leopoldo Catania & Mauro Bernardi
Koenker, R., & Bassett, G. (1978). Regression quantiles. Econometrica, 46(1), 33-50.
Gonzalez-Rivera G, Lee TH, Mishra S (2004). Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood." International Journal of Forecasting, 20(4), 629-645. ISSN 0169-2070. URL http://www.sciencedirect.com/science/article/pii/S0169207003001420.
Hansen PR, Lunde A (2005). A forecast comparison of volatility models: does anything beat a GARCH(1,1)?" Journal of Applied Econometrics, 20(7), 873-889. ISSN 1099-1255. URL http://dx.doi.org/10.1002/jae.800.
Bernardi M. and Catania L. (2014) The Model Confidence Set package for R. URL http://arxiv.org/abs/1410.8504
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