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volatilityforecastingpackage: A Financial Volatility Package in Mathematica

Author

Listed:
  • Noorshanaaz Khodabaccus

    (University of Technology, Mauritius)

  • Aslam A. E. F. Saib

    (University of Technology, Mauritius)

Abstract

The relevance of financial volatility forecasting in efficient decision making regarding risk-related assets cannot be subdued. In the financial world, asset price volatility plays a pivotal role in investment decision making and portfolio setups. The prediction of these volatilities usually deal with noisy and non-stationary data bearing heteroscedastic nature. This paper introduces the volatilityforecastingpackage for financial volatility modelling, forecasting and visualization using state-of-the art algorithms. This package allows recourse to algorithms through a user friendly interface supported by the Mathematica framework, that provides easy access to models for high and low frequency data, while accessibly generating forecasts, estimating errors and generating plots. The package also allows analysis of user data and based on the results, a set of models appropriate for the data is suggested for eventual use.

Suggested Citation

  • Noorshanaaz Khodabaccus & Aslam A. E. F. Saib, 2024. "volatilityforecastingpackage: A Financial Volatility Package in Mathematica," Computational Economics, Springer;Society for Computational Economics, vol. 63(6), pages 2307-2324, June.
    • Handle: RePEc:kap:compec:v:63:y:2024:i:6:d:10.1007_s10614-023-10406-2
    DOI: 10.1007/s10614-023-10406-2
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    References listed on IDEAS

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    More about this item

    Keywords

    Volatility forecasting; Volatility models; Financial econometrics;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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