Out of Sample Forecast of Quadratic Variation

We compare the forecasts of Quadratic Variation given by Realized Volatility (RV) and Two Scales Realized Volatility (TSRV) computed from high frequency data in the presence of market microstructure noise, under several different dynamics for the volatility process and assumptions on the noise. We show that TSRV largely outperforms RV, whichever one is considered bias, variance, RMSE or forecasting ability. An empirical application confirms the simulation results.

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Year of publication:	2006-06-01
Authors:	At-Sahalia, Yacine ; Mancini, Loriano
Institutions:	Institut für Schweizerisches Bankwesen <Zürich>
Subject:	Volatilität \| Prognose \| Messfehler

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Extent:	43 p. application/pdf
Series:	Institut für Schweizerisches Bankwesen Zürich - Working Paper Series Working Paper ; 292 (2006)
Type of publication:	Book / Working Paper
Language:	English
Classification:	Corporate finance and investment policy. Other aspects ; Econometrics ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005858520