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Contribution Details
Type | Master's Thesis |
Scope | Discipline-based scholarship |
Title | Forecasting and Trading Volatility Based on the MIDAS Model |
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Institution | University of Zurich |
Faculty | Faculty of Business, Economics and Informatics |
Date | 2022 |
Abstract Text | Volatility plays a key role in various areas of the financial market. It is used as an input in risk- management and derivatives pricing models, and it is traded to express views on the future realized volatility. This paper employs a MIDAS regression to predict and analyze potential predictors of realized volatility. It shows that predictability is improved significantly by including macroeconomic and financial variables as predictors. Further, trading strategies that use the models’ predictions to trade volatility outperform the Unconditional strategy by reducing risk at the correct time. |
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