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dc.contributor.authorOldfield, John Ken_NZ
dc.date.available2011-04-07T03:15:28Z
dc.date.copyright2003-08-25en_NZ
dc.identifier.citationOldfield, J. K. (2003, August 25). Forecasting volatility in New Zealand bank bill futures (Thesis). Retrieved from http://hdl.handle.net/10523/1428en
dc.identifier.urihttp://hdl.handle.net/10523/1428
dc.description.abstractThis paper compares volatility forecasts of four competing models based on historical data against implied volatility forecasts using New Zealand bank bill futures prices. Model forecasts are evaluated out of sample using mean absolute error and root mean square error and are tested for bias using regression techniques. GARCH was found to forecast volatility most accurately over 30-day and 60-day forecast periods; however, each of the five models gave similar errors over 90-day and 180-day forecast periods. Implied volatility forecasts gave the coefficient of determination for each period but systematically over forecasted volatility in all periods. When systematic bias was removed, the errors associated with this model fell below that of the GARCH model.en_NZ
dc.subjectvolatility forecasten_NZ
dc.subjectimplied volatility forecastsen_NZ
dc.subjectNew Zealand bank bill futures pricesen_NZ
dc.subjectGARCHen_NZ
dc.subjectModel forecastsen_NZ
dc.subject.lcshHF Commerceen_NZ
dc.subject.lcshHF5601 Accountingen_NZ
dc.subject.lcshHG Financeen_NZ
dc.titleForecasting volatility in New Zealand bank bill futuresen_NZ
dc.typeThesisen_NZ
dc.description.versionUnpublisheden_NZ
otago.bitstream.pages46en_NZ
otago.date.accession2007-04-19en_NZ
otago.schoolFinanceen_NZ
thesis.degree.disciplineFinanceen_NZ
thesis.degree.grantorUniversity of Otagoen_NZ
thesis.degree.levelMasters Thesesen_NZ
otago.interloanyesen_NZ
otago.openaccessAbstract Only
dc.identifier.eprints647en_NZ
otago.school.eprintsFinance & Quantitative Analysisen_NZ
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