Linear Combinations of Volatility Forecasts for the WIG20 and Polish Exchange Rates

Abstract

As is known forecast combinations may be better forecasts then forecasts obtained with single models. The purpose of the research is to check if linear combination of forecasts from models for of the WIG20 Index and different currency exchange rates is a good solution when searching for the best forecasts. We check if the forecasting models are highly correlated with response variable and poorly correlated with each other so if they fulfill the Hellwig assumptions