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Volatility timing in the Vietnamese stock market

Chia sẻ: ViXuka2711 ViXuka2711 | Ngày: | Loại File: PDF | Số trang:24

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In this paper, we evaluate the economic value that arise from incorporating conditional volatility when forecasting the covariance matrix of returns for both short and long horizons in the Vietnamese stock market, using the volatility timing framework of Fleming et al. (2001). We report three main findings. First, investors are willing to pay to switch from the static to a dynamic volatility timing strategy. Second, there is negligible difference in forecast performance among short and memory volatility models.

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Nội dung Text: Volatility timing in the Vietnamese stock market

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