Search Results - subject:"Realized Volatility."

Forecasting volatility of fuel oil futures in China: GARCH-type, SV or realized volatility models?

Wei, Yu - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 22, pp. 5546-5556

measurement noise could be perfectly outperformed by a so-called realized volatility (RV) measure calculated by the cumulative sum … realized volatility model based on intraday high-frequency data produces significantly more accurate volatility forecasts than … fuel oil futures on the Shanghai Futures Exchange (SHFE): the GARCH-type, stochastic volatility (SV) and realized …

Persistent link: https://www.econbiz.de/10011062524

‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables

Paye, Bradley S. - In: Journal of Financial Economics 106 (2012) 3, pp. 527-546

Aggregate stock return volatility is both persistent and countercyclical. This paper tests whether it is possible to improve volatility forecasts at monthly and quarterly horizons by conditioning on additional macroeconomic variables. I find that several variables related to macroeconomic...

Persistent link: https://www.econbiz.de/10011039250

Large deviations of realized volatility

Kanaya, Shin; Otsu, Taisuke - In: Stochastic Processes and their Applications 122 (2012) 2, pp. 546-581

This paper studies large and moderate deviation properties of a realized volatility statistic of high frequency … financial data. We establish a large deviation principle for the realized volatility when the number of high frequency … of the realized volatility. We also derive a moderate deviation rate function for a standardized realized volatility …

Persistent link: https://www.econbiz.de/10010574715

The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium

Gospodinov, Nikolay; Jamali, Ibrahim - In: Journal of Empirical Finance 19 (2012) 4, pp. 497-510

In this paper, we examine the effects of expected and surprise components in Federal funds target rate changes on realized and implied volatility. We find that surprise changes in the target rate significantly increase volatility. Consistent with the efficient market hypothesis, our analysis...

Persistent link: https://www.econbiz.de/10010942975

Forecasting spot price volatility using the short-term forward curve

Haugom, Erik; Ullrich, Carl J. - In: Energy Economics 34 (2012) 6, pp. 1826-1833

realized volatility calculated from day-ahead forward prices. Forward realized volatility improves forecasts of spot price … historical volatility. The largest forecast improvements obtained when the change in forward realized volatility is large in …

Persistent link: https://www.econbiz.de/10010588003

Research on the relationship between the multifractality and long memory of realized volatility in the SSECI

Jia, Zhanliang; Cui, Meilan; Li, Handong - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 3, pp. 740-749

We examine the multifractal properties of the realized volatility (RV) and realized bipower variation (RBV) series in …

Persistent link: https://www.econbiz.de/10010588424

Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics

Audrino, Francesco; Knaus, Simon - School of Economics and Political Science, Universität … - 2012

Realized volatility computed from high-frequency data is an important measure for many applications in finance. However …

Persistent link: https://www.econbiz.de/10010593816

Empirical bias in intraday volatility measures

Fang, Yan; Ielpo, Florian; Sévi, Benoît - In: Finance Research Letters 9 (2012) 4, pp. 231-237

Intraday volatility measures have recently become the norm in risk measurement and forecasting. This article empirically investigates the unbiasedness of three of these measures over four different datasets. We find that the three measures are significantly biased and that the bias can have...

Persistent link: https://www.econbiz.de/10010595302

Modeling moneyness volatility in measuring exchange rate volatility

Hoque, Ariful; Krishnamurti, Chandrasekhar - In: International Journal of Managerial Finance 8 (2012), pp. 365-380

Purpose – The purpose of this paper is to introduce a model to measure foreign exchange (FX) rate volatility accurately. The FX rate volatility forecasting is a crucial endeavour in financial markets and has gained the attention of researchers and practitioners over the last several decades....

Persistent link: https://www.econbiz.de/10010610526

Long memory and nonlinearities in realized volatility: A Markov switching approach

Raggi, Davide; Bordignon, Silvano - In: Computational Statistics & Data Analysis 56 (2012) 11, pp. 3730-3742

Realized volatility is studied using nonlinear and highly persistent dynamics. In particular, a model is proposed that …

Persistent link: https://www.econbiz.de/10010617661