Search Results - subject:"Realized Volatility."

Allen, David E.; McAleer, Michael; Scharth, Marcel - In: Journal of Risk and Financial Management 7 (2014) 2, pp. 80-109

forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation … volatility model, which incorporates the fact that realized volatility series are systematically more volatile in high volatility … distribution of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized …

Persistent link: https://www.econbiz.de/10010787067

Does historical volatility term structure contain valuable in-formation for predicting volatility index futures?

Jabłecki, Juliusz; Kokoszczyński, Ryszard; Sakowski, … - Wydział Nauk Ekonomicznych, Uniwersytet Warszawski - 2014

We suggest that the term structure of volatility futures (e.g. VIX futures) shows a clear pattern of dependence on the current level of VIX index. At the low level of VIX (below 20) the term structure is highly upward sloping; at the high VIX level (over 30) it is strongly downward sloping. We...

Persistent link: https://www.econbiz.de/10010789231

Uncertainty and Economic Activity: A Global Perspective

Pesaran, Hashem; Cesa-Bianchi, Ambrogio; Rebucci, Alessandro - Faculty of Economics, University of Cambridge - 2014

The 2007-2008 global _financial crisis and the subsequent anemic recovery have rekindled academic interest in quantifying the impact of uncertainty on further assume that these common factors affect volatility and economic activity with a time lag of at least a quarter. Under these assumptions,...

Persistent link: https://www.econbiz.de/10010790552

Discriminating between fractional integration and spurious long memory

Haldrup, Niels; Kruse, Robinson - School of Economics and Management, University of Aarhus - 2014

Fractionally integrated processes have become a standard class of models to describe the long memory features of economic and financial time series data. However, it has been demonstrated in numerous studies that structural break processes and non-linear features can often be confused as being...

Persistent link: https://www.econbiz.de/10010851300

The role in index jumps and cojumps in forecasting stock index volatility: Evidence from the Dow Jones index

Clements, Adam; Liao, Yin - National Centre for Econometric Research (NCER) - 2014

Modeling and forecasting realized volatility is of paramount importance. Previous studies have examined the role of …

Persistent link: https://www.econbiz.de/10010854930

Forecasting Realized Volatility with Changes of Regimes

Gallo, Giampiero M.; Otranto, Edoardo - Dipartimento di Statistica, Informatica, Applicazioni … - 2014

Realized volatility of financial time series generally shows a slow–moving average level from the early 2000s to recent … is applied to the realized volatility of the S&P500 index: next to an interesting interpretation of the regimes in terms …

Persistent link: https://www.econbiz.de/10010862522

Asymmetric Realized Volatility Risk

Allen, David Edmund; McAleer, Michael; Scharth, Marcel - Facultad de Ciencias Económicas y Empresariales, … - 2014

Persistent link: https://www.econbiz.de/10010862570

Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility

Baruník, Jozef; Kukacka, Jiri - Institut für Volkswirtschaftslehre, … - 2014

estimate daily realized volatility from returns. Then, we use stochastic cusp catastrophe on data normalized by the estimated …

Persistent link: https://www.econbiz.de/10010986558

Thai Financial Markets and Political Change

Sutsarun, Lumiajiak; Sirimon, Treepongkaruna; Marvin, Wee; … - In: Journal of Financial Management, Markets and Institutions (2014) 1, pp. 5-26

This paper examines both short-run and long-run dynamics of return, volatility, liquidity and liquidity risk of returns on the Stock Exchange of Thailand (SET) index and USD/THB over the period of 1 January 1996 to 31 December 2011 to evaluate the effect of the Thai 2006 "coup d'états" and its...

Persistent link: https://www.econbiz.de/10010950554

The VIX, the variance premium and stock market volatility

Bekaert, Geert; Hoerova, Marie - European Central Bank - 2014

We decompose the squared VIX index, derived from US S&P500; options prices, into the conditional variance of stock returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce an accurate measure of the conditional variance. We then...

Persistent link: https://www.econbiz.de/10011067211