Search Results - subject:"Realized Volatility."

Forecasting Realized Volatility with Linear and Nonlinear Models

McAleer, Michael; Medeiros, Marcelo C. - 2010

In this paper we consider a nonlinear model based on neural networks as well as linear models to forecast the daily volatility of the S&P 500 and FTSE 100 indexes. As a proxy for daily volatility, we consider a consistent and unbiased estimator of the integrated volatility that is computed from...

Persistent link: https://www.econbiz.de/10011807392

Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility

Hillebrand, Eric; Medeiros, Marcelo C. - 2010

autoregressive moving average (ARMA) time series models and apply our modeling framework to series of daily realized volatility … in the paper can be applied to any series with long memory and nonlinearity. We apply the methodology to realized … volatility of individual stocks of the Dow Jones Industrial Average during the period 1995 to 2005. We find strong evidence of …

Persistent link: https://www.econbiz.de/10011807402

Behavior of realized volatility and correlation in exchange markets

Safari, Amir; Seese, Detlef - In: International Econometric Review (IER) 2 (2010) 2, pp. 73-96

We study time-varying realized volatility and related correlation measures as proxies for the true volatility and … upside co-movements are greater than downside ones. Moreover we study the association between realized volatility and …

Persistent link: https://www.econbiz.de/10012610933

Asymmetry and Long Memory in Volatility Modelling

Asai, Manabu; McAleer, Michael; Medeiros, Medeiros, M.C. - Faculteit der Economische Wetenschappen, Erasmus … - 2010

compared with existing models. We extend the new specification to realized volatility by taking account of measurement errors … to the realized volatility of Standard and Poor’s 500 Composite Index to show that the new specification of asymmetry …

Persistent link: https://www.econbiz.de/10010732617

Forecasting the Quantiles of Daily Equity Returns Using Realized Volatility: Evidence from the Czech Stock Market

Bubak, Vit - In: Czech Economic Review 4 (2010) 3, pp. 295-314

as their lower frequency aggregate (realized volatility) to forecast volatility and ultimately the quantiles of the … distributions of future returns under different scenarios. We find that a simple autoregressive model for realized volatility …

Persistent link: https://www.econbiz.de/10008727384

Stochastic Volatility

Andersen, Torben G.; Benzoni, Luca - School of Economics and Management, University of Aarhus - 2010

the practice of constructing ex-post volatility measures from high-frequency intraday data (realized volatility). One …

Persistent link: https://www.econbiz.de/10008504200

A Time-varying Mixing Multiplicative Error Model for Realized Volatility Abstract: In this paper we model the dynamics of realized volatility as a Multiplicative Error Model with a...

Luca, Giovanni De; Gallo, Giampiero - Dipartimento di Statistica, Informatica, Applicazioni … - 2010

Persistent link: https://www.econbiz.de/10008509948

The conditional autoregressive wishart model for multivariate stock market volatility

Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - Institut für Volkswirtschaftslehre, … - 2010

We propose a Conditional Autoregressive Wishart (CAW) model for the analysis of realized covariance matrices of asset returns. Our model assumes a generalized linear autoregressive moving average structure for the scale matrix of the Wishart distribution allowing to accommodate for complex...

Persistent link: https://www.econbiz.de/10008543002

A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects

Bollerslev, Tim; Kretschmer, Uta; Pigorsch, Christian; … - Duke University, Department of Economics - 2010

We develop an empirically highly accurate discrete-time daily stochastic volatility model that explicitly distinguishes between the jump and continuous time components of price movements using nonparametric realized variation and Bipower variation measures constructed from high-frequency...

Persistent link: https://www.econbiz.de/10008549011

Volatility in Equilibrium: Asymmetries and Dynamic Dependencies

Bollerslev, Tim; Sizova, Natalia; Tauchen, George - Duke University, Department of Economics - 2010

Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits asymmetric leverage effects relative to returns. At the same time, the volatility risk premium, defined by the difference between the risk-neutral and objective expectations of the...

Persistent link: https://www.econbiz.de/10008549029