01722cas a2200241 a 4500 AALejournalIMF002470 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451855302 1018-5941 BD-DhAAL BD-DhAAL Kisinbay, Turgut. Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons / Turgut Kisinbay. Washington, D.C. : International Monetary Fund, 2003. 1 online resource (38 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students Using realized volatility to estimate conditional variance of financial returns, we compare forecasts of volatility from linear GARCH models with asymmetric ones. We consider horizons extending to 30 days. Forecasts are compared using three different evaluation tests. With data from an equity index and two foreign exchange returns, we show that asymmetric models provide statistically significant forecast improvements upon the GARCH model for two of the datasets and improve forecasts for all datasets by means of forecasts combinations. These results extend to about 10 days in the future, beyond which the forecasts are statistically inseparable from each other. Mode of access: Internet IMF Working Papers; Working Paper ; No. 2003/131 Full text available on IMF http://elibrary.imf.org/view/journals/001/2003/131/001.2003.issue-131-en.xml IMF e-Library