Empirical Economics

, Volume 38, Issue 3, pp 705–715 | Cite as

Midpoint method and accuracy of variability forecasting

Original Paper
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Abstract

This study develops an alternative variability forecasting method, the midpoint method. This method, along with the interval computing and OLS lower and upper bound methods in the literature, is applied to predict variability in the stock market and mortgage rates. Results suggest that both the midpoint and interval computing methods can generate significantly higher accuracy in variability forecasts than the OLS lower and upper bound method. Nonetheless, the midpoint method requires less asymmetric distribution of input data than the interval computing.

Keywords

Variability forecasting Midpoint method Interval computing Symmetric data 

JEL Classification

C82 E17 
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Copyright information

© Springer-Verlag 2009

Authors and Affiliations

  1. 1.Department of Economics and FinanceUniversity of Central ArkansasConwayUSA
  2. 2.Department of Computer ScienceUniversity of Central ArkansasConwayUSA

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