| Article ID: | iaor200614 |
| Country: | Netherlands |
| Volume: | 163 |
| Issue: | 1 |
| Start Page Number: | 102 |
| End Page Number: | 114 |
| Publication Date: | May 2005 |
| Journal: | European Journal of Operational Research |
| Authors: | Bellini Fabio, Fig-Talamanca Gianna |
| Keywords: | time series & forecasting methods |
In this work we refine a nonparametric methodology first applied by Christoffersen and Diebold for assessing volatility forecastability in financial time series based on discretization and on the use of runs tests. Empirical results are provided for SP500 and MIB30 indexes that lead naturally to a discretized one-period Markov chain. The results are confirmed with other persistence measures and their robustness is studied via numerical simulation.