{"id":"https://openalex.org/W2002014776","doi":"https://doi.org/10.2469/faj.v61.n1.2683","title":"Practical Issues in Forecasting Volatility","display_name":"Practical Issues in Forecasting Volatility","publication_year":2005,"publication_date":"2005-01-01","ids":{"openalex":"https://openalex.org/W2002014776","doi":"https://doi.org/10.2469/faj.v61.n1.2683","mag":"2002014776"},"language":"en","primary_location":{"id":"doi:10.2469/faj.v61.n1.2683","doi":"https://doi.org/10.2469/faj.v61.n1.2683","is_oa":false,"landing_page_url":"https://doi.org/10.2469/faj.v61.n1.2683","pdf_url":null,"source":{"id":"https://openalex.org/S162525099","display_name":"Financial Analysts Journal","issn_l":"0015-198X","issn":["0015-198X","1938-3312"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-2","jufo-1","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Financial Analysts Journal","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5017515962","display_name":"Ser\u2010Huang Poon","orcid":"https://orcid.org/0000-0002-7297-9401","observed_orcids":["https://orcid.org/0000-0002-7297-9401"]},"institutions":[{"id":"https://openalex.org/I28407311","display_name":"University of Manchester","ror":"https://ror.org/027m9bs27","country_code":"GB","type":"education","lineage":["https://openalex.org/I28407311"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Ser-Huang Poon","raw_affiliation_strings":["Ser-Huang Poon is professor of finance at the University of Manchester, United Kingdom"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Ser-Huang Poon is professor of finance at the University of Manchester, United Kingdom","institution_ids":["https://openalex.org/I28407311"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5105834520","display_name":"Clive W. J. Granger","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I36258959","display_name":"University of California San Diego","ror":"https://ror.org/0168r3w48","country_code":"US","type":"education","lineage":["https://openalex.org/I36258959"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Clive Granger","raw_affiliation_strings":["Clive Granger is professor emeritus and research professor at the University of California at San Diego"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Clive Granger is professor emeritus and research professor at the University of California at San Diego","institution_ids":["https://openalex.org/I36258959"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":18.217,"has_fulltext":false,"cited_by_count":228,"citation_normalized_percentile":{"value":0.9892459,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":97,"max":100},"biblio":{"volume":"61","issue":"1","first_page":"45","last_page":"56"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11918","display_name":"Forecasting Techniques and Applications","score":0.0005000000237487257,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/volatility-forecasting","display_name":"volatility forecasting","score":0.9990000128746033},{"id":"https://openalex.org/keywords/option-implied-volatility","display_name":"option-implied volatility","score":0.9860000014305115},{"id":"https://openalex.org/keywords/historical-volatility","display_name":"historical volatility","score":0.7860000133514404},{"id":"https://openalex.org/keywords/garch","display_name":"GARCH","score":0.8700000047683716},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"stochastic volatility","score":0.9779999852180481},{"id":"https://openalex.org/keywords/forecast-accuracy","display_name":"forecast accuracy","score":0.7120000123977661},{"id":"https://openalex.org/keywords/financial-asset-returns","display_name":"financial asset returns","score":0.9520000219345093}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.7529640793800354},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7257869839668274},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.7129636406898499},{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.6654288172721863},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.6095661520957947},{"id":"https://openalex.org/C192620184","wikidata":"https://www.wikidata.org/wiki/Q7940002","display_name":"Volatility swap","level":4,"score":0.5836859345436096},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5777891874313354},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.5705136060714722},{"id":"https://openalex.org/C101104100","wikidata":"https://www.wikidata.org/wiki/Q1063540","display_name":"Heteroscedasticity","level":2,"score":0.5404253005981445},{"id":"https://openalex.org/C44731940","wikidata":"https://www.wikidata.org/wiki/Q7940001","display_name":"Volatility risk premium","level":4,"score":0.5402981042861938},{"id":"https://openalex.org/C159877910","wikidata":"https://www.wikidata.org/wiki/Q2202883","display_name":"Autoregressive model","level":2,"score":0.5162250995635986},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.5009818077087402},{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.4697074294090271},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3768674433231354}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.2469/faj.v61.n1.2683","doi":"https://doi.org/10.2469/faj.v61.n1.2683","is_oa":false,"landing_page_url":"https://doi.org/10.2469/faj.v61.n1.2683","pdf_url":null,"source":{"id":"https://openalex.org/S162525099","display_name":"Financial Analysts Journal","issn_l":"0015-198X","issn":["0015-198X","1938-3312"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-2","jufo-1","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Financial Analysts Journal","raw_type":"journal-article"},{"id":"pmh:oai:pure.atira.dk:openaire_cris_publications/9b2c32fd-f7aa-4030-bfea-9abce6c1243f","doi":null,"is_oa":false,"landing_page_url":"https://research.manchester.ac.uk/en/publications/9b2c32fd-f7aa-4030-bfea-9abce6c1243f","pdf_url":null,"source":{"id":"https://openalex.org/S4306400662","display_name":"Research Explorer (The University of Manchester)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I28407311","host_organization_name":"University of Manchester","host_organization_lineage":["https://openalex.org/I28407311"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Poon, S H & Granger, C 2005, 'Practical issues in forecasting volatility', Financial Analysts Journal, vol. 61, no. 1, pp. 45-56. https://doi.org/10.2469/faj.v61.n1.2683","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:RePEc:taf:ufajxx:v:61:y:2005:i:1:p:45-56","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10.2469/faj.v61.n1.2683","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":36,"referenced_works":["https://openalex.org/W1594842258","https://openalex.org/W1963570115","https://openalex.org/W1966728196","https://openalex.org/W1974036667","https://openalex.org/W2001477178","https://openalex.org/W2012011168","https://openalex.org/W2021001809","https://openalex.org/W2026195732","https://openalex.org/W2052509092","https://openalex.org/W2054599015","https://openalex.org/W2061160212","https://openalex.org/W2068138154","https://openalex.org/W2076209196","https://openalex.org/W2077289703","https://openalex.org/W2077791698","https://openalex.org/W2090511230","https://openalex.org/W2090637028","https://openalex.org/W2106154424","https://openalex.org/W2118854883","https://openalex.org/W2132090039","https://openalex.org/W2148338846","https://openalex.org/W2170859022","https://openalex.org/W2171868047","https://openalex.org/W2184797284","https://openalex.org/W2489822048","https://openalex.org/W2604842052","https://openalex.org/W2742550937","https://openalex.org/W2891601610","https://openalex.org/W3121364726","https://openalex.org/W3123653015","https://openalex.org/W3124454571","https://openalex.org/W3125246470","https://openalex.org/W3126136684","https://openalex.org/W4232115882","https://openalex.org/W4232651013","https://openalex.org/W4388114142"],"related_works":["https://openalex.org/W7099771421","https://openalex.org/W7096197269","https://openalex.org/W2344531347","https://openalex.org/W171669014","https://openalex.org/W1998681941","https://openalex.org/W3036760987","https://openalex.org/W7043889487","https://openalex.org/W2011649405","https://openalex.org/W2160754926","https://openalex.org/W1531172459"],"abstract_inverted_index":{"A":[0],"comparison":[1],"is":[2,40,48],"presented":[3],"of":[4,10,17],"93":[5],"studies":[6],"that":[7,24],"conducted":[8],"tests":[9],"volatility-forecasting":[11],"methods":[12],"on":[13],"a":[14,41,45],"wide":[15],"range":[16],"financial":[18],"asset":[19],"returns.":[20],"The":[21,60],"survey":[22,61],"found":[23],"option-implied":[25],"volatility":[26,67],"provides":[27],"more":[28],"accurate":[29],"forecasts":[30],"than":[31],"time-series":[32,36],"models.":[33],"Among":[34],"the":[35],"models,":[37],"no":[38],"model":[39],"clear":[42],"winner,":[43],"although":[44],"possible":[46],"ranking":[47],"as":[49],"follows:":[50],"historical":[51],"volatility,":[52],"generalized":[53],"autoregressive":[54],"conditional":[55],"heteroscedasticity,":[56],"and":[57],"stochastic":[58],"volatility.":[59],"produced":[62],"some":[63],"practical":[64],"suggestions":[65],"for":[66],"forecasting.":[68]},"counts_by_year":[{"year":2026,"cited_by_count":5},{"year":2025,"cited_by_count":6},{"year":2024,"cited_by_count":5},{"year":2023,"cited_by_count":12},{"year":2022,"cited_by_count":14},{"year":2021,"cited_by_count":12},{"year":2020,"cited_by_count":9},{"year":2019,"cited_by_count":6},{"year":2018,"cited_by_count":9},{"year":2017,"cited_by_count":7},{"year":2016,"cited_by_count":13},{"year":2015,"cited_by_count":9},{"year":2014,"cited_by_count":8},{"year":2013,"cited_by_count":16},{"year":2012,"cited_by_count":15}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2016-06-24T00:00:00"}
