How Relevant is Volatility Forecasting for Financial Risk Management?
提出一种无模型方法衡量波动率可预测性，发现其随预测期快速衰减，对短期交易台管理有用，但对一般风险管理可能不重要。
It depends. If volatility fluctuates in a forecastable way, then volatility forecasts are useful for risk management; hence the interest in volatility forecastability in the risk management literature. Volatility forecastability, however, varies with horizon, and different horizons are relevant in different applications. Existing assessments are plagued by the fact that they are joint assessments of volatility forecastability and an assumed model, and the results vary not only with the horizon, but also with the model. To address this problem, we develop a model-free procedure for measuring volatility forecastability across horizons. Perhaps surprisingly, we find that volatility forecastability decays quickly with horizon. Volatility forecastability, although clearly of relevance for risk management at the very short horizons relevant for, say, trading desk management, may not be important for risk management more generally. Acknowledgments: Greg Hopper and Keith Sill provided helpful discussion. All remaining inadequacies are ours alone. We thank the National Science Foundation, the Sloan Foundation and the University of Pennsylvania Research Foundation for support. The views expressed herein do not necessarily reflect those of the International Monetary Fund. See Santomero (1995, 1997), Babbel and Santomero (1996), and Froot and O'Connell (1997). See, for example, Kupiec and O'Brien (1995).