Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 2011 erstellt
Beschreibung:
The article focuses on forecasting idiosyncratic hedge fund return volatility using a non-linear Markov switching GARCH (MS-GARCH) framework in which the conditional mean and volatility of systematic and idiosyncratic hedge fund return components may exhibit dynamic Markov switching behaviour. The article compares the out-of-sample and multi-step ahead forecasting performance of two competing conditional volatility specifications: GARCH(1,1) and MS-GARCH(1,1). The work employs data collected on 12 global hedge fund indices over January 1990 - October 2010 and produce volatility forecasts for the January 1999 - October 2010 period. The forecasting precision measure employed evidences superior forecasting performance of the MS volatility model for most hedge fund indices considered. The forecast encompassing robustness test results provide evidence that the MS-GARCH volatility forecasts significantly encompass the GARCH volatility forecasts for most Event-Driven and Relative Value hedge fund indices, whereas forecast encompassing is less significant for some Equity Hedge and Emerging Markets hedge fund indices