FORECASTING THE VOLATILITY OF HEALTH CARE STOCKS
Keywords:
Skate. Força. Postura. Sistema musculoesquelético.Abstract
This paper compares the performance of two popular volatility models for making out-of-sample forecasts of health care stock market volatility. We focus on portfolios designed to represent the three profit-motivated groups: providers of services, manufacturers of products, and third-party payors. Our results are consistent with Gokcan (2000) in the sense that the risk/return trade off inherent in the changing health care industry may be similar to the risk/return trade off of emerging markets.Implications for linear vs. nonlinear volatility models are discussed.Downloads
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