caa a22 4500 469053771 CHVBK 20180323132837.0 cr unu---uuuuu 170328e19920401xx s 000 0 eng 10.1007/BF01732034 doi (NATIONALLICENCE)springer-10.1007/BF01732034 Forecasting volatility in the Singapore stock market [Elektronische Daten] [Tse Kuen, Tung Hoong] Volatility forecasting is a major area in the pricing of derivative securities, such as stock and index options. In this paper, we compare three methods of forecasting volatility. These are the naive method based on historical sample variance, the exponentially weighted moving average (EWMA) method, and the generalised autoregressive conditional heteroscedasticity (GARCH) model. Out-of-sample forecasts of monthly return variances generated by these three methods are compared. The results strongly favour the EWMA method. Faculty of Business Administration National University of Singapore, 1992 Kuen Tse aut Hoong Tung aut Asia Pacific Journal of Management Kluwer Academic Publishers 9/1(1992-04-01), 1-13 0217-4561 9:1<1 1992 9 10490 https://doi.org/10.1007/BF01732034 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/BF01732034 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Kuen Tse aut NATIONALLICENCE 700 1- Hoong Tung aut NATIONALLICENCE 773 0- Asia Pacific Journal of Management Kluwer Academic Publishers 9/1(1992-04-01), 1-13 0217-4561 9:1<1 1992 9 10490 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer