Three factors determine more accurate volatility predictions: model combinations, market liquidity, and asymmetry, as proved by Daniel Stašek
In September, Daniel Stašek, a graduate of the doctoral program at ECON MUNI, received the Dean's Award for outstanding dissertation work. In his research focused on volatility prediction, he demonstrated that more reliable results can be achieved through a sophisticated combination of hundreds of models. It is also advisable to include market liquidity indicators in predictive models and to consider that underestimating volatility is more costly than overestimating it. The result is more realistic and economically accurate predictions.
