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I'm working on volatility forecasting models for equities and currencies. I am using daily data and am interested in producing forecasts for the next n days. To evaluate model error I am looking at two metrics, mean absolute percentage error and directional accuracy. What are the state of the art benchmarks for these two metrics?

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  • $\begingroup$ I don't know. But here is a public source of volatility forecasts vlab.stern.nyu.edu/doc?topic=vlab . See if you can do better. $\endgroup$
    – nbbo2
    Apr 17, 2017 at 17:00
  • $\begingroup$ I've seen people using the ratio as error metric, as in Jim's slides, tpq.io/p/rough_volatility_with_python.html $\endgroup$
    – Will Gu
    Apr 17, 2017 at 22:16

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